Portfolio rebalancing with transaction costs and a minimal purchase unit

Y. Fang, K. K. Lai, S. Y. Wang

    Research output: Journal Publications and ReviewsRGC 21 - Publication in refereed journalpeer-review

    2 Citations (Scopus)

    Abstract

    A mean semi-absolute deviation model is proposed for portfolio rebalancing with transaction costs and taxes. Considering the existence of a minimal purchase unit of securities, a mixed integer linear programming model is proposed. Due to the high computational complexity of the model, a heuristic algorithm is proposed. An example is given to illustrate that the model and the heuristic algorithm can be used efficiently to solve portfolio rebalancing problem by using real data from the Shanghai Stock Exchange. Copyright © 2005 Watam Press.
    Original languageEnglish
    Pages (from-to)499-515
    JournalDynamics of Continuous, Discrete and Impulsive Systems Series B: Applications and Algorithms
    Volume12
    Issue number4
    Publication statusPublished - Aug 2005

    Research Keywords

    • Minimal purchase unit
    • Mixed-integer linear programming problem
    • Portfolio rebalancing
    • Semi-absolute deviation risk function
    • Transaction costs

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