Portfolio rebalancing with transaction costs and a minimal purchase unit

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

2 Scopus Citations
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  • Y. Fang
  • K. K. Lai
  • S. Y. Wang

Related Research Unit(s)


Original languageEnglish
Pages (from-to)499-515
Journal / PublicationDynamics of Continuous, Discrete and Impulsive Systems Series B: Applications and Algorithms
Issue number4
Publication statusPublished - Aug 2005


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.

Research Area(s)

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