Portfolio rebalancing with transaction costs and a minimal purchase unit
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 499-515 |
| Journal / Publication | Dynamics of Continuous, Discrete and Impulsive Systems Series B: Applications and Algorithms |
| Volume | 12 |
| Issue number | 4 |
| Publication status | Published - Aug 2005 |
Link(s)
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.
Research Area(s)
- Minimal purchase unit, Mixed-integer linear programming problem, Portfolio rebalancing, Semi-absolute deviation risk function, Transaction costs
Citation Format(s)
Portfolio rebalancing with transaction costs and a minimal purchase unit. / Fang, Y.; Lai, K. K.; Wang, S. Y.
In: Dynamics of Continuous, Discrete and Impulsive Systems Series B: Applications and Algorithms, Vol. 12, No. 4, 08.2005, p. 499-515.
In: Dynamics of Continuous, Discrete and Impulsive Systems Series B: Applications and Algorithms, Vol. 12, No. 4, 08.2005, p. 499-515.
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
