An Algorithm for Portfolio Optimization with Variable Transaction Costs, Part 2: Computational Analysis

Best, Michael J. and Hlouskova, Jaroslava (2007) An Algorithm for Portfolio Optimization with Variable Transaction Costs, Part 2: Computational Analysis. Journal of Optimization Theory and Applications, 135 (3), pp. 531-547.

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Abstract or Table of Contents

In Part 1 of this paper, we introduced a (2K+1)n-dimensional portfolio optimization problem with variable transaction costs taken into account. We presented a method for solving the (2K+1)n-dimensional problem by solving a sequence of n-dimensional optimization problems accounting for the transaction costs implicitly rather than explicitly.

In Part 2, we propose a degeneracy resolving rule, present computational results comparing our method with the interior-point optimizer of Mosek, well known for its speed and efficient use of sparsity, and also address the efficiency of the new method. (author's abstract)

Item Type: Article in Academic Journal
Keywords: convex programming, portfolio optimization, variable transaction costs
Status: Published
Date Deposited: 22 May 2015 08:56
Last Modified: 01 Apr 2016 14:19
URI: http://irihs.ihs.ac.at/id/eprint/3383

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