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1.
Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints 总被引:9,自引:0,他引:9
We will propose a branch and bound algorithm for calculating a globally optimal solution of a portfolio construction/rebalancing
problem under concave transaction costs and minimal transaction unit constraints. We will employ the absolute deviation of
the rate of return of the portfolio as the measure of risk and solve linear programming subproblems by introducing (piecewise)
linear underestimating function for concave transaction cost functions. It will be shown by a series of numerical experiments
that the algorithm can solve the problem of practical size in an efficient manner.
Received: July 15, 1999 / Accepted: October 1, 2000?Published online December 15, 2000 相似文献
2.
Portfolio optimization with linear and fixed transaction costs 总被引:1,自引:0,他引:1
We consider the problem of portfolio selection, with transaction costs and constraints on exposure to risk. Linear transaction
costs, bounds on the variance of the return, and bounds on different shortfall probabilities are efficiently handled by convex
optimization methods. For such problems, the globally optimal portfolio can be computed very rapidly. Portfolio optimization
problems with transaction costs that include a fixed fee, or discount breakpoints, cannot be directly solved by convex optimization.
We describe a relaxation method which yields an easily computable upper bound via convex optimization. We also describe a
heuristic method for finding a suboptimal portfolio, which is based on solving a small number of convex optimization problems
(and hence can be done efficiently). Thus, we produce a suboptimal solution, and also an upper bound on the optimal solution.
Numerical experiments suggest that for practical problems the gap between the two is small, even for large problems involving
hundreds of assets. The same approach can be used for related problems, such as that of tracking an index with a portfolio
consisting of a small number of assets. 相似文献
3.
An investor subject to proportional transaction costs allocates funds to multiple stocks and a bank account, to maximise the
expected growth rate of the portfolio value under Expected Shortfall (ES) constraints. In a numerical example with ten time
steps and one stock important innovations are caused by the introduction of the Expected Shortfall constraint: First, expected
returns are reduced by less than one-tenth when the ES constraint is introduced. In comparison, economic capital as measured
by ES, is reduced to amounts between one-half and three-quarters, when the ES constraint is introduced. Second, the dependence
of expected return and ES on the initial portfolio, in particular when transaction costs are high, is largely removed by the
introduction of the ES constraint. 相似文献
4.
5.
This paper is concerned with a portfolio optimization problem under concave and piecewise constant transaction cost. We formulate
the problem as nonconcave maximization problem under linear constraints using absolute deviation as a measure of risk and
solve it by a branch and bound algorithm developed in the field of global optimization. Also, we compare it with a more standard
0–1 integer programming approach. We will show that a branch and bound method elaborating the special structure of the problem
can solve the problem much faster than the state-of-the integer programming code. 相似文献
6.
Gary Quek 《Applied Mathematical Finance》2017,24(2):77-111
In this article, we study a multi-period portfolio selection model in which a generic class of probability distributions is assumed for the returns of the risky asset. An investor with a power utility function rebalances a portfolio comprising a risk-free and risky asset at the beginning of each time period in order to maximize expected utility of terminal wealth. Trading the risky asset incurs a cost that is proportional to the value of the transaction. At each time period, the optimal investment strategy involves buying or selling the risky asset to reach the boundaries of a certain no-transaction region. In the limit of small transaction costs, dynamic programming and perturbation analysis are applied to obtain explicit approximations to the optimal boundaries and optimal value function of the portfolio at each stage of a multi-period investment process of any length. 相似文献
7.
In this paper we provide a duality theory for multiobjective optimization problems with convex objective functions and finitely many D.C. constraints. In order to do this, we study first the duality for a scalar convex optimization problem with inequality constraints defined by extended real-valued convex functions. For a family of multiobjective problems associated to the initial one we determine then, by means of the scalar duality results, their multiobjective dual problems. Finally, we consider as a special case the duality for the convex multiobjective optimization problem with convex constraints. 相似文献
8.
A D.C. optimization method for single facility location problems 总被引:4,自引:0,他引:4
The single facility location problem with general attraction and repulsion functions is considered. An algorithm based on a representation of the objective function as the difference of two convex (d.c.) functions is proposed. Convergence to a global solution of the problem is proven and extensive computational experience with an implementation of the procedure is reported for up to 100,000 points. The procedure is also extended to solve conditional and limited distance location problems. We report on limited computational experiments on these extensions.This research was supported in part by the National Science Foundation Grant DDM-91-14489. 相似文献
9.
In this paper a particular quadratic minimum program, having a particular d.c. objective function, is studied. Some theoretical properties of the problem are stated and the existence of minimizers is characterized. A solution algorithm, based on the so called optimal level solutions approach, is finally proposed. 相似文献
10.
A general branch-and-bound conceptual scheme for global optimization is presented that includes along with previous branch-and-bound approaches also grid-search techniques. The corresponding convergence theory, as well as the question of restart capability for branch-and-bound algorithms used in decomposition or outer approximation schemes are discussed. As an illustration of this conceptual scheme, a finite branch-and-bound algorithm for concave minimization is described and a convergent branch-and-bound algorithm, based on the previous one, is developed for the minimization of a difference of two convex functions. 相似文献
11.
M. SEMU 《数学年刊B辑(英文版)》2003,24(4):521-528
This paper derives first order necessary and sufficient conditions for unconstrained cone d.c. programming problems where the underlined space is partially ordered with respect to a cone. These conditions are given in terms of directional derivatives and subdifferentials of the component functions. Moreover, conjugate duality for cone d.c. optimization is discussed and weak duality theorem is proved in a more general partially ordered linear topological vector space (generalizing the results in [11]). 相似文献
12.
We are dealing with a numerical method for solving the problem of minimizing a difference of two convex functions (a d.c. function) over a closed convex set in
n
. This algorithm combines a new prismatic branch and bound technique with polyhedral outer approximation in such a way that only linear programming problems have to be solved.Parts of this research were accomplished while the third author was visiting the University of Trier, Germany, as a fellow of the Alexander von Humboldt foundation. 相似文献
13.
We address a class of particularly hard-to-solve combinatorial optimization problems, namely that of multicommodity network optimization when the link cost functions are discontinuous step increasing. Unlike usual approaches consisting in the development of relaxations for such problems (in an equivalent form of a large scale mixed integer linear programming problem) in order to derive lower bounds, our d.c.(difference of convex functions) approach deals with the original continuous version and provides upper bounds. More precisely we approximate step increasing functions as closely as desired by differences of polyhedral convex functions and then apply DCA (difference of convex function algorithm) to the resulting approximate polyhedral d.c. programs. Preliminary computational experiments are presented on a series of test problems with structures similar to those encountered in telecommunication networks. They show that the d.c. approach and DCA provide feasible multicommodity flows x
* such that the relative differences between upper bounds (computed by DCA) and simple lower bounds r:=(f(x*)-LB)/{f(x*)} lies in the range [4.2 %, 16.5 %] with an average of 11.5 %, where f is the cost function of the problem and LB is a lower bound obtained by solving the linearized program (that is built from the original problem by replacing step increasing cost functions with simple affine minorizations). It seems that for the first time so good upper bounds have been obtained. 相似文献
14.
Wei Wang Li-Ping Pang Zun-Quan Xia 《应用数学学报(英文版)》2007,23(1):29-38
In this paper,the UV-theory and P-differential calculus are employed to study second-order ex-pansion of a class of D.C.functions and minimization problems.Under certain conditions,some properties ofthe U-Lagrangian,the second-order expansion of this class of functions along some trajectories are formulated.Some first and second order optimality conditions for the class of D.C.optimization problems are given. 相似文献
15.
Le Thi Hoai An 《Journal of Global Optimization》2003,27(4):375-397
We study a continuation approach via the Gaussian transform and D.C. programming for solving both exact and general distance geometry problems. This approach relies on a new formulation of the problems and their Gaussian transforms which are both smooth D.C. (difference of convex functions) programs. A D.C. optimization algorithm is investigated for solving the transformed problems. Numerical experiments on the data derived from PDB data bank up to 4189 atoms show the usefulness of the reformulation, the globality of sought solutions, the robustness and the efficiency of the proposed approach. 相似文献