An Algorithm for Portfolio Optimization with Variable Transaction Costs, Part 2: Computational Analysis
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 transactio...| Link(s) zu Dokument(en): | IHS Publikation |
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| Hauptverfasser: | , |
| Format: | Article in Academic Journal PeerReviewed |
| Veröffentlicht: |
Springer Science+Business Media
2007
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| Zusammenfassung: | 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. (author's abstract) |
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