search query: @indexterm MONEY SHOPS / total: 4
reference: 2 / 4
| Author: | Yoshimoto, A. |
| Title: | The mean-variance approach to portfolio optimization subject to transaction costs |
| Journal: | Journal of the Operational Research Society
1996 : MAR, VOL. 39:1, p. 99-117 |
| Index terms: | OPTIMIZATION MONEY SHOPS COSTS |
| Language: | eng |
| Abstract: | Transaction costs are a source of concern for portfolio managers. Due to nonlinearity of the cost function, the ordinary quadratic programming technique cannot be applied. This paper addresses the portfolio optimization problem subject to transaction costs. The transaction cost is assumed to be a V-shaped function of difference between an existing and new portfolio. A nonlinear programming solution technique is used to solve the proposed problem. The portfolio optimization system called POSTRAC (Portfolio Optimization System with TRAnsaction Costs) is proposed. |
SCIMA