|
|||||
|
|
VaR optimal portfolio with transaction costs |
|
| Authors: | Nataša Kreji? Miles Kumaresan |
| Institution: | a Department of Mathematics and Informatics, University of Novi Sad, Trg Dositeja Obradovi?a 4, 21000 Novi Sad, Serbia b Algonetix LLP, Berkeley Square House, Berkeley Square, London W1J 6BD, United Kingdom c Faculty of Civil Engineering, University of Novi Sad, Kozara?ka 2a, 24000 Subotica, Serbia |
| Abstract: | We consider the problem of portfolio optimization under VaR risk measure taking into account transaction costs. Fixed costs as well as impact costs as a nonlinear function of trading activity are incorporated in the optimal portfolio model. Thus the obtained model is a nonlinear optimization problem with nonsmooth objective function. The model is solved by an iterative method based on a smoothing VaR technique. We prove the convergence of the considered iterative procedure and demonstrate the nontrivial influence of transaction costs on the optimal portfolio weights. |
| Keywords: | Portfolio optimization VaR Transaction costs Market impact Smoothing methods SVaR |
| 本文献已被 ScienceDirect 等数据库收录！ | |