The admissible portfolio selection problem with transaction costs and an improved PSO algorithm

Wei Chen and Wei-Guo Zhang

Physica A: Statistical Mechanics and its Applications, 2010, vol. 389, issue 10, 2070-2076

Abstract: In this paper, we discuss the portfolio selection problem with transaction costs under the assumption that there exist admissible errors on expected returns and risks of assets. We propose a new admissible efficient portfolio selection model and design an improved particle swarm optimization (PSO) algorithm because traditional optimization algorithms fail to work efficiently for our proposed problem. Finally, we offer a numerical example to illustrate the proposed effective approaches and compare the admissible portfolio efficient frontiers under different constraints.

Keywords: Portfolio selection; Admissible return; Admissible risk; Transaction costs; Particle swarm optimization (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:389:y:2010:i:10:p:2070-2076

DOI: 10.1016/j.physa.2010.01.016

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