An Algorithm for Portfolio Optimization with Variable Transaction Costs, Part 2: Computational Analysis

M. J. Best () and Jaroslava Hlouskova
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M. J. Best: University of Waterloo

Journal of Optimization Theory and Applications, 2007, vol. 135, issue 3, No 15, 547 pages

Abstract: Abstract In Part 1 of this paper, we introduced a (2K+1)n-dimensional portfolio optimization problem with variable transaction costs taken into account. We presented a method for solving the (2K+1)n-dimensional problem by solving a sequence of n-dimensional optimization problems accounting for the transaction costs implicitly rather than explicitly. In Part 2, we propose a degeneracy resolving rule, present computational results comparing our method with the interior-point optimizer of Mosek, well known for its speed and efficient use of sparsity, and also address the efficiency of the new method.

Keywords: Convex programming; Portfolio optimization; Variable transaction costs (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (6)

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DOI: 10.1007/s10957-007-9249-2

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