TY - JOUR
T1 - Portfolio rebalancing with transaction costs and a minimal purchase unit
AU - Fang, Y.
AU - Lai, K. K.
AU - Wang, S. Y.
PY - 2005/8
Y1 - 2005/8
N2 - 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.
AB - 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.
KW - Minimal purchase unit
KW - Mixed-integer linear programming problem
KW - Portfolio rebalancing
KW - Semi-absolute deviation risk function
KW - Transaction costs
UR - http://www.scopus.com/inward/record.url?scp=26444541328&partnerID=8YFLogxK
UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-26444541328&origin=recordpage
M3 - RGC 21 - Publication in refereed journal
SN - 1492-8760
VL - 12
SP - 499
EP - 515
JO - Dynamics of Continuous, Discrete and Impulsive Systems Series B: Applications and Algorithms
JF - Dynamics of Continuous, Discrete and Impulsive Systems Series B: Applications and Algorithms
IS - 4
ER -