Title :
A portfolio optimization model not considering transaction costs
Author_Institution :
Dept. of Math., Zhejiang Univ., Hangzhou, China
Abstract :
A new optimization model is proposed based on Markowitz´s mean and variance model. This two-objective programming model can improve Markowitz´s model on one side because our new model considers both profit and risk in the objective function at the same time. Finally, the solution to the two-objective programming model is given.
Keywords :
costing; investment; optimisation; risk analysis; portfolio optimization model; transaction costs; two-objective programming model; Cost function; Covariance matrix; Functional programming; Lagrangian functions; Linear programming; Mathematical model; Mathematics; Portfolios; Security; proflt; risk; short selling; transaction costs;
Conference_Titel :
Information Management and Engineering (ICIME), 2010 The 2nd IEEE International Conference on
Conference_Location :
Chengdu
Print_ISBN :
978-1-4244-5263-7
Electronic_ISBN :
978-1-4244-5265-1
DOI :
10.1109/ICIME.2010.5478095
