Selecting Portfolios with Fixed Costs and Minimum Transaction Lots
Hans Kellerer (),
Renata Mansini () and
M. Speranza ()
Annals of Operations Research, 2000, vol. 99, issue 1, 287-304
The original Markowitz model of portfolio selection has received a widespread theoretical acceptance and it has been the basis for various portfolio selection techniques. Nevertheless, this normative model has found relatively little application in practice when some additional features, such as fixed costs and minimum transaction lots, are relevant in the portfolio selection problem. In this paper different mixed-integer linear programming models dealing with fixed costs and possibly minimum lots are introduced. Due to the high computational complexity of the models, heuristic procedures, based on the construction and optimal solution of mixed integer subproblems, are proposed. Computational results obtained using data from the Milan Stock Exchange show how the proposed heuristics yield very good solutions in a short computational time and make possible some interesting financial conclusions on the impact of fixed costs and minimum lots on portfolio composition. Copyright Kluwer Academic Publishers 2000
Keywords: integer programming; portfolio optimization; transaction costs (search for similar items in EconPapers)
References: Add references at CitEc
Citations: View citations in EconPapers (29) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:spr:annopr:v:99:y:2000:i:1:p:287-304:10.1023/a:1019279918596
Ordering information: This journal article can be ordered from
Access Statistics for this article
Annals of Operations Research is currently edited by Endre Boros
More articles in Annals of Operations Research from Springer
Bibliographic data for series maintained by Sonal Shukla ().