The mean–semivariances approach to realistic portfolio optimization subject to transaction costs

F. Hamza and J. Janssen

Applied Stochastic Models and Data Analysis, 1998, vol. 14, issue 4, 275-283

Abstract: In this paper, we present a realistic portfolio optimization problem which takes into account real character istics of the portfolio which are disregarded in most optimization models. These are different transaction costs, minimum transaction units and investor's current portfolio holding. In order to obtain a greater realism in our problem modelling, a set of binary variables and disjunctive constraints can be introduced. Finally, we show that separable programming techniques can be applied successfully for solving our problem. Copyright © 1998 John Wiley & Sons, Ltd.

Date: 1998
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://doi.org/10.1002/(SICI)1099-0747(199812)14:43.0.CO;2-P

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:wly:apsmda:v:14:y:1998:i:4:p:275-283

Access Statistics for this article

More articles in Applied Stochastic Models and Data Analysis from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().