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引用
期刊论文
A linear programming algorithm for optimal portfolio selection with transaction costs
International Journal of Systems Science, 2000, volume 31, number 1, pages 107-117,-0001,():
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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