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Portfolio Optimization Model with Transaction Costs

Authors:	Shu-ping?Chen author-information" > author-information__contact u-icon-before" > mailto:chensp@gzu.edu.cn" title=" chensp@gzu.edu.cn" itemprop=" email" data-track=" click" data-track-action=" Email author" data-track-label=" " >Email author,Chong?Li,Sheng-hong?Li,Xiong-wei?Wu

Affiliation:	(1) Department of Applied Mathematics, Zhejiang University, Hangzhou 310027, China (E-mail: chensp@gzu.edu.cn; amalsh@zjuem.zju.edu.cn; wuxw@boshi.com.cn), CN;(2) Department of Applied Mathematics, Southeast University, Nanjing 210096, China (E-mail: cli@seu.edu.cn), CN

Abstract:	Abstract The purpose of the article is to formulate, under the l _∞ risk measure, a model of portfolio selection with transaction costs and then investigate the optimal strategy within the proposed. The characterization of a optimal strategy and the efficient algorithm for finding the optimal strategy are given. Supported by the National Natural Sciences Foundation of China.

Keywords:	Transaction cost portfolio optimization model algorithm
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