DocumentCode
2554317
Title
A portfolio optimization model not considering transaction costs
Author
Li, Shiwei
Author_Institution
Dept. of Math., Zhejiang Univ., Hangzhou, China
fYear
2010
fDate
16-18 April 2010
Firstpage
418
Lastpage
420
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;
fLanguage
English
Publisher
ieee
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
Type
conf
DOI
10.1109/ICIME.2010.5478095
Filename
5478095
Link To Document