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- Title
An Algorithm for Portfolio Optimization with Variable Transaction Costs, Part 2: Computational Analysis.
- Authors
Best, M. J.; Hlouskova, J.
- Abstract
In Part 1 of this paper, we introduced a (2K + 1)n-dimensional portfolio optimization problem with variable transaction costs taken into account. We presented a method for solving the (2K + 1)n-dimensional problem by solving a sequence of n-dimensional optimization problems accounting for the transaction costs implicitly rather than explicitly. In Part 2, we propose a degeneracy resolving rule, present computational results comparing our method with the interior-point optimizer of Mosek, well known for its speed and efficient use of sparsity, and also address the efficiency of the new method.
- Subjects
ALGORITHMS; MATHEMATICAL optimization; TRANSACTION costs; MATHEMATICS problems &; exercises; CONVEX programming; BREAK-even analysis; COST accounting
- Publication
Journal of Optimization Theory & Applications, 2007, Vol 135, Issue 3, p531
- ISSN
0022-3239
- Publication type
Article
- DOI
10.1007/s10957-007-9249-2