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李仲飞

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期刊论文

A linear programming algorithm for optimal portfolio selection with transaction costs

李仲飞Zhong-Fei Li Shou-Yang Wang and Xiao-Tie Deng

International Journal of Systems Science, 2000, volume 31, number 1, pages 107-117,-0001,():

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摘要/描述

We study the optimal portfolio selection problem with transaction costs. In general, the ecient frontier can be determined by solving a parametric non-quadratic programming problem. In a general setting, the transaction cost is a V-shaped function of dierence between the existing and the new portfolio. We show how to transform this problem into a quadratic programming model. Hence a linear programming algorithm is applicable by establishing a linear approximation on the utility function of return and variance.

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版权说明:以下全部内容由李仲飞上传于   2005年07月07日 17时44分19秒,版权归本人所有。

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