OPTIMAL INVESTMENT PORTFOLIO WITH TRANSACTION LOT: DOES PRICE MATTER

Ezra Putranda Setiawan ()
Additional contact information
Ezra Putranda Setiawan: Graduate School of Business Administration, Wits Business School, University of the Witwatersrand South Africa

Malaysian E Commerce Journal (MECJ), 2023, vol. 8, issue 1, 40-45

Abstract: Transaction lot as a rule in real stock market had implemented in several portfolio optimization models. In almost all these models, the stock price became part of the constraint(s), but the role is not well understood. In this study, we compare the effectiveness of portfolio optimization models with transaction lot in different asset price level. We conduct a simulation study using 15 portfolios, each consists of four assets with various price range. We find that the usage of different stock price did not affect the performance of minimum- variance portfolio optimization with transaction lots. On the other hand, the performance of minimum-CVaR portfolio optimization with transaction lots is largely affected by stock price.

Keywords: Genetic algorithm; price; efficient frontier; CvaR (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
https://myecommerecejournal.com/wp-content/uploads ... /1mecj2024-40-45.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zib:zbmecj:v:8:y:2023:i:1:p:40-45

DOI: 10.26480/mecj.01.2023.40.45

Access Statistics for this article

Malaysian E Commerce Journal (MECJ) is currently edited by Associate Prof. Dr. Xiao-Guang Yue

More articles in Malaysian E Commerce Journal (MECJ) from Zibeline International Publishing
Bibliographic data for series maintained by Zibeline International Publishing ( this e-mail address is bad, please contact ).