A DC Programming Framework for Portfolio Selection by Minimizing the Transaction Costs
Identifieur interne : 002E85 ( Istex/Corpus ); précédent : 002E84; suivant : 002E86A DC Programming Framework for Portfolio Selection by Minimizing the Transaction Costs
Auteurs : Pham Viet-Nga ; Hoai An Le Thi ; Pham Dinh TaoSource :
- Studies in Computational Intelligence [ 1860-949X ]
Abstract
Abstract: We consider a single-period portfolio selection problem which consists of minimizing the total transaction cost subject to different types of constraints on feasible portfolios. The transaction cost function is separable, i.e., it is the sum of the transaction cost associated with each trade, but discontinuous. This optimization problem is nonconvex and very hard to solve. We investigate in this work a DC (Difference of Convex functions) programming framework for the solution methods. First, the objective function is approximated by a DC function. Then a DC formulation for the resulting problem is proposed for which two approaches are developed: DCA (DC Algorithm) and a hybridization of Branch and Bound and DCA.
Url:
DOI: 10.1007/978-3-319-00293-4_3
Links to Exploration step
ISTEX:C5846301B5F6C321C477C5099083B23A44AF6750Le document en format XML
<record><TEI wicri:istexFullTextTei="biblStruct"><teiHeader><fileDesc><titleStmt><title xml:lang="en">A DC Programming Framework for Portfolio Selection by Minimizing the Transaction Costs</title><author><name sortKey="Viet Nga, Pham" sort="Viet Nga, Pham" uniqKey="Viet Nga P" first="Pham" last="Viet-Nga">Pham Viet-Nga</name><affiliation><mods:affiliation>Laboratory of Mathematics, National Institute for Applied Sciences Rouen, 76801, Saint Etienne du Rouvray, France</mods:affiliation></affiliation><affiliation><mods:affiliation>E-mail: viet.pham@insa-rouen.fr</mods:affiliation></affiliation></author><author><name sortKey="Le Thi, Hoai An" sort="Le Thi, Hoai An" uniqKey="Le Thi H" first="Hoai An" last="Le Thi">Hoai An Le Thi</name><affiliation><mods:affiliation>Laboratory of Theorical and Applied computer Science LITA EA 3097, University of Lorraine, 57045, Ile du Saulcy-Metz, France</mods:affiliation></affiliation><affiliation><mods:affiliation>Lorraine Research Laboratory in Computer Science and its Applications LORIA, University of Lorraine, 54506, CNRS UMR 7503, Nancy, France</mods:affiliation></affiliation><affiliation><mods:affiliation>E-mail: hoai-an.le-thi@univ-lorraine.fr</mods:affiliation></affiliation></author><author><name sortKey="Tao, Pham Dinh" sort="Tao, Pham Dinh" uniqKey="Tao P" first="Pham Dinh" last="Tao">Pham Dinh Tao</name><affiliation><mods:affiliation>Laboratory of Mathematics, National Institute for Applied Sciences Rouen, 76801, Saint Etienne du Rouvray, France</mods:affiliation></affiliation><affiliation><mods:affiliation>E-mail: pham@insa-rouen.fr</mods:affiliation></affiliation></author></titleStmt><publicationStmt><idno type="wicri:source">ISTEX</idno><idno type="RBID">ISTEX:C5846301B5F6C321C477C5099083B23A44AF6750</idno><date when="2013" year="2013">2013</date><idno type="doi">10.1007/978-3-319-00293-4_3</idno><idno type="url">https://api.istex.fr/ark:/67375/HCB-R2ZZPKXC-N/fulltext.pdf</idno><idno type="wicri:Area/Istex/Corpus">002E85</idno><idno type="wicri:explorRef" wicri:stream="Istex" wicri:step="Corpus" wicri:corpus="ISTEX">002E85</idno></publicationStmt><sourceDesc><biblStruct><analytic><title level="a" type="main" xml:lang="en">A DC Programming Framework for Portfolio Selection by Minimizing the Transaction Costs</title><author><name sortKey="Viet Nga, Pham" sort="Viet Nga, Pham" uniqKey="Viet Nga P" first="Pham" last="Viet-Nga">Pham Viet-Nga</name><affiliation><mods:affiliation>Laboratory of Mathematics, National Institute for Applied Sciences Rouen, 76801, Saint Etienne du Rouvray, France</mods:affiliation></affiliation><affiliation><mods:affiliation>E-mail: viet.pham@insa-rouen.fr</mods:affiliation></affiliation></author><author><name sortKey="Le Thi, Hoai An" sort="Le Thi, Hoai An" uniqKey="Le Thi H" first="Hoai An" last="Le Thi">Hoai An Le Thi</name><affiliation><mods:affiliation>Laboratory of Theorical and Applied computer Science LITA EA 3097, University of Lorraine, 57045, Ile du Saulcy-Metz, France</mods:affiliation></affiliation><affiliation><mods:affiliation>Lorraine Research Laboratory in Computer Science and its Applications LORIA, University of Lorraine, 54506, CNRS UMR 7503, Nancy, France</mods:affiliation></affiliation><affiliation><mods:affiliation>E-mail: hoai-an.le-thi@univ-lorraine.fr</mods:affiliation></affiliation></author><author><name sortKey="Tao, Pham Dinh" sort="Tao, Pham Dinh" uniqKey="Tao P" first="Pham Dinh" last="Tao">Pham Dinh Tao</name><affiliation><mods:affiliation>Laboratory of Mathematics, National Institute for Applied Sciences Rouen, 76801, Saint Etienne du Rouvray, France</mods:affiliation></affiliation><affiliation><mods:affiliation>E-mail: pham@insa-rouen.fr</mods:affiliation></affiliation></author></analytic><monogr></monogr><series><title level="s" type="main" xml:lang="en">Studies in Computational Intelligence</title><title level="s" type="abbrev">Studies Comp.Intelligence</title><idno type="ISSN">1860-949X</idno><idno type="eISSN">1860-9503</idno><idno type="ISSN">1860-949X</idno></series></biblStruct></sourceDesc><seriesStmt><idno type="ISSN">1860-949X</idno></seriesStmt></fileDesc><profileDesc><textClass></textClass></profileDesc></teiHeader><front><div type="abstract" xml:lang="en">Abstract: We consider a single-period portfolio selection problem which consists of minimizing the total transaction cost subject to different types of constraints on feasible portfolios. The transaction cost function is separable, i.e., it is the sum of the transaction cost associated with each trade, but discontinuous. This optimization problem is nonconvex and very hard to solve. We investigate in this work a DC (Difference of Convex functions) programming framework for the solution methods. First, the objective function is approximated by a DC function. Then a DC formulation for the resulting problem is proposed for which two approaches are developed: DCA (DC Algorithm) and a hybridization of Branch and Bound and DCA.</div></front></TEI><istex><corpusName>springer-ebooks</corpusName><author><json:item><name>Pham Viet-Nga</name><affiliations><json:string>Laboratory of Mathematics, National Institute for Applied Sciences Rouen, 76801, Saint Etienne du Rouvray, France</json:string><json:string>E-mail: viet.pham@insa-rouen.fr</json:string></affiliations></json:item><json:item><name>Hoai An Le Thi</name><affiliations><json:string>Laboratory of Theorical and Applied computer Science LITA EA 3097, University of Lorraine, 57045, Ile du Saulcy-Metz, France</json:string><json:string>Lorraine Research Laboratory in Computer Science and its Applications LORIA, University of Lorraine, 54506, CNRS UMR 7503, Nancy, France</json:string><json:string>E-mail: hoai-an.le-thi@univ-lorraine.fr</json:string></affiliations></json:item><json:item><name>Pham Dinh Tao</name><affiliations><json:string>Laboratory of Mathematics, National Institute for Applied Sciences Rouen, 76801, Saint Etienne du Rouvray, France</json:string><json:string>E-mail: pham@insa-rouen.fr</json:string></affiliations></json:item></author><subject><json:item><lang><json:string>eng</json:string></lang><value>portfolio selection</value></json:item><json:item><lang><json:string>eng</json:string></lang><value>separable transaction cost</value></json:item><json:item><lang><json:string>eng</json:string></lang><value>DC programming</value></json:item><json:item><lang><json:string>eng</json:string></lang><value>DCA</value></json:item><json:item><lang><json:string>eng</json:string></lang><value>Branch</value></json:item><json:item><lang><json:string>eng</json:string></lang><value>Bound</value></json:item></subject><arkIstex>ark:/67375/HCB-R2ZZPKXC-N</arkIstex><language><json:string>eng</json:string></language><originalGenre><json:string>OriginalPaper</json:string></originalGenre><abstract>Abstract: We consider a single-period portfolio selection problem which consists of minimizing the total transaction cost subject to different types of constraints on feasible portfolios. The transaction cost function is separable, i.e., it is the sum of the transaction cost associated with each trade, but discontinuous. This optimization problem is nonconvex and very hard to solve. We investigate in this work a DC (Difference of Convex functions) programming framework for the solution methods. First, the objective function is approximated by a DC function. Then a DC formulation for the resulting problem is proposed for which two approaches are developed: DCA (DC Algorithm) and a hybridization of Branch and Bound and DCA.</abstract><qualityIndicators><score>6.904</score><pdfWordCount>3572</pdfWordCount><pdfCharCount>16365</pdfCharCount><pdfVersion>1.6</pdfVersion><pdfPageCount>10</pdfPageCount><pdfPageSize>439.363 x 666.131 pts</pdfPageSize><refBibsNative>false</refBibsNative><abstractWordCount>111</abstractWordCount><abstractCharCount>731</abstractCharCount><keywordCount>6</keywordCount></qualityIndicators><title>A DC Programming Framework for Portfolio Selection by Minimizing the Transaction Costs</title><chapterId><json:string>3</json:string><json:string>Chap3</json:string></chapterId><genre><json:string>conference</json:string></genre><serie><title>Studies in Computational Intelligence</title><language><json:string>unknown</json:string></language><copyrightDate>2013</copyrightDate><issn><json:string>1860-949X</json:string></issn><eissn><json:string>1860-9503</json:string></eissn><volume>Part I</volume></serie><host><title>Advanced Computational Methods for Knowledge Engineering</title><language><json:string>unknown</json:string></language><copyrightDate>2013</copyrightDate><doi><json:string>10.1007/978-3-319-00293-4</json:string></doi><issn><json:string>1860-949X</json:string></issn><eissn><json:string>1860-9503</json:string></eissn><eisbn><json:string>978-3-319-00293-4</json:string></eisbn><bookId><json:string>978-3-319-00293-4</json:string></bookId><isbn><json:string>978-3-319-00292-7</json:string></isbn><volume>479</volume><pages><first>31</first><last>40</last></pages><genre><json:string>book-series</json:string></genre><editor><json:item><name>Ngoc Thanh Nguyen</name><affiliations><json:string>, Division of Knowledge Management Systems, Wroclaw University of Technology, Str. Wyb. Wyspianskiego 27, 50-370, Wroclaw, Poland</json:string><json:string>E-mail: ngoc-thanh.nguyen@pwr.edu.pl</json:string></affiliations></json:item><json:item><name>Tien van Do</name><affiliations><json:string>and Economics, Department of Telecommunications, Budapest University of Technology, Pazmany Peter setany 1/D, 1111, Budapest, Hungary</json:string><json:string>E-mail: do@hit.bme.hu</json:string></affiliations></json:item><json:item><name>Hoai An le Thi</name><affiliations><json:string>LITA - UFR MIM, Université de Lorraine – Metz, Ile du Saulcy, 57045, Metz Cedex 01, France</json:string><json:string>E-mail: hoai-an.le-thi@univ-lorraine.fr</json:string></affiliations></json:item></editor><subject><json:item><value>Engineering</value></json:item><json:item><value>Engineering</value></json:item><json:item><value>Computational Intelligence</value></json:item><json:item><value>Image Processing and Computer Vision</value></json:item><json:item><value>Mathematical Modeling and Industrial Mathematics</value></json:item></subject></host><ark><json:string>ark:/67375/HCB-R2ZZPKXC-N</json:string></ark><publicationDate>2013</publicationDate><copyrightDate>2013</copyrightDate><doi><json:string>10.1007/978-3-319-00293-4_3</json:string></doi><id>C5846301B5F6C321C477C5099083B23A44AF6750</id><score>1</score><fulltext><json:item><extension>pdf</extension><original>true</original><mimetype>application/pdf</mimetype><uri>https://api.istex.fr/ark:/67375/HCB-R2ZZPKXC-N/fulltext.pdf</uri></json:item><json:item><extension>zip</extension><original>false</original><mimetype>application/zip</mimetype><uri>https://api.istex.fr/ark:/67375/HCB-R2ZZPKXC-N/bundle.zip</uri></json:item><istex:fulltextTEI uri="https://api.istex.fr/ark:/67375/HCB-R2ZZPKXC-N/fulltext.tei"><teiHeader><fileDesc><titleStmt><title level="a" type="main" xml:lang="en">A DC Programming Framework for Portfolio Selection by Minimizing the Transaction Costs</title></titleStmt><publicationStmt><authority>ISTEX</authority><availability><licence>Springer International Publishing Switzerland</licence></availability><date when="2013">2013</date></publicationStmt><notesStmt><note type="conference" source="proceedings" scheme="https://content-type.data.istex.fr/ark:/67375/XTP-BFHXPBJJ-3">conference</note><note type="publication-type" subtype="book-series" scheme="https://publication-type.data.istex.fr/ark:/67375/JMC-0G6R5W5T-Z">book-series</note></notesStmt><sourceDesc><biblStruct><analytic><title level="a" type="main" xml:lang="en">A DC Programming Framework for Portfolio Selection by Minimizing the Transaction Costs</title><author role="corresp"><persName><forename type="first">Pham</forename><surname>Viet-Nga</surname></persName><email>viet.pham@insa-rouen.fr</email><affiliation><orgName type="department">Laboratory of Mathematics</orgName><orgName type="institution">National Institute for Applied Sciences Rouen</orgName><address><postCode>76801</postCode><settlement>Saint Etienne du Rouvray</settlement><country key="FR">FRANCE</country></address></affiliation></author><author><persName><forename type="first">Hoai</forename><forename type="first">An</forename><surname>Le Thi</surname></persName><email>hoai-an.le-thi@univ-lorraine.fr</email><affiliation><orgName type="department">Laboratory of Theorical and Applied computer Science LITA EA 3097</orgName><orgName type="institution">University of Lorraine</orgName><address><settlement>Ile du Saulcy-Metz</settlement><postCode>57045</postCode><country key="FR">FRANCE</country></address></affiliation><affiliation><orgName type="department">Lorraine Research Laboratory in Computer Science and its Applications LORIA</orgName><orgName type="institution">University of Lorraine</orgName><address><postCode>CNRS UMR 7503</postCode><postBox>54506</postBox><settlement>Nancy</settlement><country key="FR">FRANCE</country></address></affiliation></author><author><persName><forename type="first">Pham</forename><forename type="first">Dinh</forename><surname>Tao</surname></persName><email>pham@insa-rouen.fr</email><affiliation><orgName type="department">Laboratory of Mathematics</orgName><orgName type="institution">National Institute for Applied Sciences Rouen</orgName><address><postCode>76801</postCode><settlement>Saint Etienne du Rouvray</settlement><country key="FR">FRANCE</country></address></affiliation></author><idno type="istex">C5846301B5F6C321C477C5099083B23A44AF6750</idno><idno type="ark">ark:/67375/HCB-R2ZZPKXC-N</idno><idno type="DOI">10.1007/978-3-319-00293-4_3</idno></analytic><monogr><title level="m" type="main">Advanced Computational Methods for Knowledge Engineering</title><title level="m" type="part">Advanced Optimization Methods and Their Applications</title><idno type="DOI">10.1007/978-3-319-00293-4</idno><idno type="book-id">978-3-319-00293-4</idno><idno type="ISBN">978-3-319-00292-7</idno><idno type="eISBN">978-3-319-00293-4</idno><idno type="chapter-id">Chap3</idno><idno type="part-id">Part1</idno><editor><persName><forename type="first">Ngoc Thanh</forename><surname>Nguyen</surname></persName><email>ngoc-thanh.nguyen@pwr.edu.pl</email><affiliation><orgName type="department">, Division of Knowledge Management Systems</orgName><orgName type="institution">Wroclaw University of Technology</orgName><address><street>Str. Wyb. Wyspianskiego 27</street><settlement>Wroclaw</settlement><postCode>50-370</postCode><country key="PL">POLAND</country></address></affiliation></editor><editor><persName><forename type="first">Tien</forename><nameLink>van</nameLink><surname>Do</surname></persName><email>do@hit.bme.hu</email><affiliation><orgName type="department">and Economics, Department of Telecommunications</orgName><orgName type="institution">Budapest University of Technology</orgName><address><street>Pazmany Peter setany 1/D</street><settlement>Budapest</settlement><postCode>1111</postCode><country key="HU">HUNGARY</country></address></affiliation></editor><editor><persName><forename type="first">Hoai An</forename><nameLink>le</nameLink><surname>Thi</surname></persName><email>hoai-an.le-thi@univ-lorraine.fr</email><affiliation><orgName type="department">LITA - UFR MIM</orgName><orgName type="institution">Université de Lorraine – Metz</orgName><address><street>Ile du Saulcy</street><settlement>Metz Cedex 01</settlement><postCode>57045</postCode><country key="FR">FRANCE</country></address></affiliation></editor><imprint><biblScope unit="vol">479</biblScope><biblScope unit="page" from="31">31</biblScope><biblScope unit="page" to="40">40</biblScope><biblScope unit="chapter-count">29</biblScope><biblScope unit="part-chapter-count">10</biblScope></imprint></monogr><series><title level="s" type="main" xml:lang="en">Studies in Computational Intelligence</title><title level="s" type="abbrev">Studies Comp.Intelligence</title><idno type="pISSN">1860-949X</idno><idno type="eISSN">1860-9503</idno><idno type="seriesID">7092</idno></series></biblStruct></sourceDesc></fileDesc><profileDesc><abstract xml:lang="en"><head>Abstract</head><p>We consider a single-period portfolio selection problem which consists of minimizing the total transaction cost subject to different types of constraints on feasible portfolios. The transaction cost function is separable, i.e., it is the sum of the transaction cost associated with each trade, but discontinuous. This optimization problem is nonconvex and very hard to solve. We investigate in this work a DC (Difference of Convex functions) programming framework for the solution methods. First, the objective function is approximated by a DC function. Then a DC formulation for the resulting problem is proposed for which two approaches are developed: DCA (DC Algorithm) and a hybridization of Branch and Bound and DCA.</p></abstract><textClass ana="keyword"><keywords xml:lang="en"><term>portfolio selection</term><term>separable transaction cost</term><term>DC programming</term><term>DCA</term><term>Branch</term><term>Bound</term></keywords></textClass><textClass ana="subject"><keywords scheme="book-subject-collection"><list><label>SUCO11647</label><item><term>Engineering</term></item></list></keywords></textClass><textClass ana="subject"><keywords scheme="book-subject"><list><label>SCT</label><item><term type="Primary">Engineering</term></item><label>SCT11014</label><item><term type="Secondary" subtype="priority-1">Computational Intelligence</term></item><label>SCI22021</label><item><term type="Secondary" subtype="priority-2">Image Processing and Computer Vision</term></item><label>SCM14068</label><item><term type="Secondary" subtype="priority-3">Mathematical Modeling and Industrial Mathematics</term></item></list></keywords></textClass><langUsage><language ident="EN"></language></langUsage></profileDesc></teiHeader></istex:fulltextTEI><json:item><extension>txt</extension><original>false</original><mimetype>text/plain</mimetype><uri>https://api.istex.fr/ark:/67375/HCB-R2ZZPKXC-N/fulltext.txt</uri></json:item></fulltext><metadata><istex:metadataXml wicri:clean="corpus springer-ebooks not found" wicri:toSee="no header"><istex:xmlDeclaration>version="1.0" encoding="UTF-8"</istex:xmlDeclaration><istex:docType PUBLIC="-//Springer-Verlag//DTD A++ V2.4//EN" URI="http://devel.springer.de/A++/V2.4/DTD/A++V2.4.dtd" name="istex:docType"></istex:docType><istex:document><Publisher><PublisherInfo><PublisherName>Springer International Publishing</PublisherName><PublisherLocation>Heidelberg</PublisherLocation><PublisherImprintName>Springer</PublisherImprintName></PublisherInfo><Series><SeriesInfo ID="Series_1" SeriesType="Series" TocLevels="0"><SeriesID>7092</SeriesID><SeriesPrintISSN>1860-949X</SeriesPrintISSN><SeriesElectronicISSN>1860-9503</SeriesElectronicISSN><SeriesTitle Language="En">Studies in Computational Intelligence</SeriesTitle><SeriesAbbreviatedTitle>Studies Comp.Intelligence</SeriesAbbreviatedTitle></SeriesInfo><Book Language="En" OutputMedium="All"><BookInfo BookProductType="Proceedings" ContainsESM="No" Language="En" MediaType="eBook" NumberingStyle="Unnumbered" OutputMedium="All" TocLevels="0"><BookID>978-3-319-00293-4</BookID><BookTitle>Advanced Computational Methods for Knowledge Engineering</BookTitle><BookVolumeNumber>479</BookVolumeNumber><BookSequenceNumber>479</BookSequenceNumber><BookDOI>10.1007/978-3-319-00293-4</BookDOI><BookTitleID>313242</BookTitleID><BookPrintISBN>978-3-319-00292-7</BookPrintISBN><BookElectronicISBN>978-3-319-00293-4</BookElectronicISBN><BookEdition>2013</BookEdition><BookChapterCount>29</BookChapterCount><BookCopyright><CopyrightHolderName>Springer International Publishing Switzerland</CopyrightHolderName><CopyrightYear>2013</CopyrightYear></BookCopyright><BookSubjectGroup><BookSubject Code="SCT" Type="Primary">Engineering</BookSubject><BookSubject Code="SCT11014" Priority="1" Type="Secondary">Computational Intelligence</BookSubject><BookSubject Code="SCI22021" Priority="2" Type="Secondary">Image Processing and Computer Vision</BookSubject><BookSubject Code="SCM14068" Priority="3" Type="Secondary">Mathematical Modeling and Industrial Mathematics</BookSubject><SubjectCollection Code="SUCO11647">Engineering</SubjectCollection></BookSubjectGroup><BookContext><SeriesID>7092</SeriesID></BookContext></BookInfo><BookHeader><EditorGroup><Editor AffiliationIDS="AffID1"><EditorName DisplayOrder="Western"><GivenName>Ngoc Thanh</GivenName><FamilyName>Nguyen</FamilyName></EditorName><Contact><Email>ngoc-thanh.nguyen@pwr.edu.pl</Email></Contact></Editor><Editor AffiliationIDS="AffID2"><EditorName DisplayOrder="Western"><GivenName>Tien</GivenName><Particle>van</Particle><FamilyName>Do</FamilyName></EditorName><Contact><Email>do@hit.bme.hu</Email></Contact></Editor><Editor AffiliationIDS="AffID3"><EditorName DisplayOrder="Western"><GivenName>Hoai An</GivenName><Particle>le</Particle><FamilyName>Thi</FamilyName></EditorName><Contact><Phone>+33330387315441</Phone><Fax>(33) - 03 - 87 31 53 09</Fax><Email>hoai-an.le-thi@univ-lorraine.fr</Email></Contact></Editor><Affiliation ID="AffID1"><OrgDivision>, Division of Knowledge Management Systems</OrgDivision><OrgName>Wroclaw University of Technology</OrgName><OrgAddress><Street>Str. Wyb. Wyspianskiego 27</Street><City>Wroclaw</City><Postcode>50-370</Postcode><Country>Poland</Country></OrgAddress></Affiliation><Affiliation ID="AffID2"><OrgDivision>and Economics, Department of Telecommunications</OrgDivision><OrgName>Budapest University of Technology</OrgName><OrgAddress><Street>Pazmany Peter setany 1/D</Street><City>Budapest</City><Postcode>1111</Postcode><Country>Hungary</Country></OrgAddress></Affiliation><Affiliation ID="AffID3"><OrgDivision>LITA - UFR MIM</OrgDivision><OrgName>Université de Lorraine – Metz</OrgName><OrgAddress><Street>Ile du Saulcy</Street><City>Metz Cedex 01</City><Postcode>57045</Postcode><Country>France</Country></OrgAddress></Affiliation></EditorGroup></BookHeader><Part ID="Part1" OutputMedium="All"><PartInfo OutputMedium="All" TocLevels="0"><PartID>1</PartID><PartNumber>Part I</PartNumber><PartSequenceNumber>1</PartSequenceNumber><PartTitle>Advanced Optimization Methods and Their Applications</PartTitle><PartChapterCount>10</PartChapterCount><PartContext><SeriesID>7092</SeriesID><BookID>978-3-319-00293-4</BookID><BookTitle>Advanced Computational Methods for Knowledge Engineering</BookTitle></PartContext></PartInfo><Chapter ID="Chap3" Language="En"><ChapterInfo ChapterType="OriginalPaper" ContainsESM="No" NumberingStyle="Unnumbered" OutputMedium="All" TocLevels="0"><ChapterID>3</ChapterID><ChapterDOI>10.1007/978-3-319-00293-4_3</ChapterDOI><ChapterSequenceNumber>3</ChapterSequenceNumber><ChapterTitle Language="En">A DC Programming Framework for Portfolio Selection by Minimizing the Transaction Costs</ChapterTitle><ChapterFirstPage>31</ChapterFirstPage><ChapterLastPage>40</ChapterLastPage><ChapterCopyright><CopyrightHolderName>Springer International Publishing Switzerland</CopyrightHolderName><CopyrightYear>2013</CopyrightYear></ChapterCopyright><ChapterContext><SeriesID>7092</SeriesID><PartID>1</PartID><BookID>978-3-319-00293-4</BookID><BookTitle>Advanced Computational Methods for Knowledge Engineering</BookTitle></ChapterContext></ChapterInfo><ChapterHeader><AuthorGroup><Author AffiliationIDS="Aff1" CorrespondingAffiliationID="Aff1"><AuthorName DisplayOrder="Western"><GivenName>Pham</GivenName><FamilyName>Viet-Nga</FamilyName></AuthorName><Contact><Email>viet.pham@insa-rouen.fr</Email></Contact></Author><Author AffiliationIDS="Aff2 Aff3"><AuthorName DisplayOrder="Western"><GivenName>Hoai</GivenName><GivenName>An</GivenName><FamilyName>Le Thi</FamilyName></AuthorName><Contact><Email>hoai-an.le-thi@univ-lorraine.fr</Email></Contact></Author><Author AffiliationIDS="Aff1"><AuthorName DisplayOrder="Western"><GivenName>Pham</GivenName><GivenName>Dinh</GivenName><FamilyName>Tao</FamilyName></AuthorName><Contact><Email>pham@insa-rouen.fr</Email></Contact></Author><Affiliation ID="Aff1"><OrgDivision>Laboratory of Mathematics</OrgDivision><OrgName>National Institute for Applied Sciences Rouen</OrgName><OrgAddress><Postcode>76801</Postcode><City>Saint Etienne du Rouvray</City><Country>France</Country></OrgAddress></Affiliation><Affiliation ID="Aff2"><OrgDivision>Laboratory of Theorical and Applied computer Science LITA EA 3097</OrgDivision><OrgName>University of Lorraine</OrgName><OrgAddress><City>Ile du Saulcy-Metz</City><Postcode>57045</Postcode><Country>France</Country></OrgAddress></Affiliation><Affiliation ID="Aff3"><OrgDivision>Lorraine Research Laboratory in Computer Science and its Applications LORIA</OrgDivision><OrgName>University of Lorraine</OrgName><OrgAddress><Postcode>CNRS UMR 7503</Postcode><Postbox>54506</Postbox><City>Nancy</City><Country>France</Country></OrgAddress></Affiliation></AuthorGroup><Abstract ID="Abs1" Language="En"><Heading>Abstract</Heading><Para>We consider a single-period portfolio selection problem which consists of minimizing the total transaction cost subject to different types of constraints on feasible portfolios. The transaction cost function is separable, i.e., it is the sum of the transaction cost associated with each trade, but discontinuous. This optimization problem is nonconvex and very hard to solve. We investigate in this work a DC (Difference of Convex functions) programming framework for the solution methods. First, the objective function is approximated by a DC function. Then a DC formulation for the resulting problem is proposed for which two approaches are developed: DCA (DC Algorithm) and a hybridization of Branch and Bound and DCA.</Para></Abstract><KeywordGroup Language="En"><Heading>Keywords</Heading><Keyword>portfolio selection</Keyword><Keyword>separable transaction cost</Keyword><Keyword>DC programming</Keyword><Keyword>DCA</Keyword><Keyword>Branch</Keyword><Keyword>Bound</Keyword></KeywordGroup></ChapterHeader><NoBody></NoBody></Chapter></Part></Book></Series></Publisher></istex:document></istex:metadataXml><mods version="3.6"><titleInfo lang="en"><title>A DC Programming Framework for Portfolio Selection by Minimizing the Transaction Costs</title></titleInfo><titleInfo type="alternative" contentType="CDATA"><title>A DC Programming Framework for Portfolio Selection by Minimizing the Transaction Costs</title></titleInfo><name type="personal" displayLabel="corresp"><namePart type="given">Pham</namePart><namePart type="family">Viet-Nga</namePart><affiliation>Laboratory of Mathematics, National Institute for Applied Sciences Rouen, 76801, Saint Etienne du Rouvray, France</affiliation><affiliation>E-mail: viet.pham@insa-rouen.fr</affiliation><role><roleTerm type="text">author</roleTerm></role></name><name type="personal"><namePart type="given">Hoai</namePart><namePart type="given">An</namePart><namePart type="family">Le Thi</namePart><affiliation>Laboratory of Theorical and Applied computer Science LITA EA 3097, University of Lorraine, 57045, Ile du Saulcy-Metz, France</affiliation><affiliation>Lorraine Research Laboratory in Computer Science and its Applications LORIA, University of Lorraine, 54506, CNRS UMR 7503, Nancy, France</affiliation><affiliation>E-mail: hoai-an.le-thi@univ-lorraine.fr</affiliation><role><roleTerm type="text">author</roleTerm></role></name><name type="personal"><namePart type="given">Pham</namePart><namePart type="given">Dinh</namePart><namePart type="family">Tao</namePart><affiliation>Laboratory of Mathematics, National Institute for Applied Sciences Rouen, 76801, Saint Etienne du Rouvray, France</affiliation><affiliation>E-mail: pham@insa-rouen.fr</affiliation><role><roleTerm type="text">author</roleTerm></role></name><typeOfResource>text</typeOfResource><genre displayLabel="OriginalPaper" authority="ISTEX" authorityURI="https://content-type.data.istex.fr" type="conference" valueURI="https://content-type.data.istex.fr/ark:/67375/XTP-BFHXPBJJ-3">conference</genre><originInfo><publisher>Springer International Publishing</publisher><place><placeTerm type="text">Heidelberg</placeTerm></place><dateIssued encoding="w3cdtf">2013</dateIssued><copyrightDate encoding="w3cdtf">2013</copyrightDate></originInfo><language><languageTerm type="code" authority="rfc3066">en</languageTerm><languageTerm type="code" authority="iso639-2b">eng</languageTerm></language><abstract lang="en">Abstract: We consider a single-period portfolio selection problem which consists of minimizing the total transaction cost subject to different types of constraints on feasible portfolios. The transaction cost function is separable, i.e., it is the sum of the transaction cost associated with each trade, but discontinuous. This optimization problem is nonconvex and very hard to solve. We investigate in this work a DC (Difference of Convex functions) programming framework for the solution methods. First, the objective function is approximated by a DC function. Then a DC formulation for the resulting problem is proposed for which two approaches are developed: DCA (DC Algorithm) and a hybridization of Branch and Bound and DCA.</abstract><subject lang="en"><genre>Keywords</genre><topic>portfolio selection</topic><topic>separable transaction cost</topic><topic>DC programming</topic><topic>DCA</topic><topic>Branch</topic><topic>Bound</topic></subject><relatedItem type="host"><titleInfo><title>Advanced Computational Methods for Knowledge Engineering</title></titleInfo><name type="personal"><namePart type="given">Ngoc Thanh</namePart><namePart type="family">Nguyen</namePart><affiliation>, Division of Knowledge Management Systems, Wroclaw University of Technology, Str. Wyb. Wyspianskiego 27, 50-370, Wroclaw, Poland</affiliation><affiliation>E-mail: ngoc-thanh.nguyen@pwr.edu.pl</affiliation><role><roleTerm type="text">editor</roleTerm></role></name><name type="personal"><namePart type="given">Tien</namePart><namePart type="family">van Do</namePart><affiliation>and Economics, Department of Telecommunications, Budapest University of Technology, Pazmany Peter setany 1/D, 1111, Budapest, Hungary</affiliation><affiliation>E-mail: do@hit.bme.hu</affiliation><role><roleTerm type="text">editor</roleTerm></role></name><name type="personal"><namePart type="given">Hoai An</namePart><namePart type="family">le Thi</namePart><affiliation>LITA - UFR MIM, Université de Lorraine – Metz, Ile du Saulcy, 57045, Metz Cedex 01, France</affiliation><affiliation>E-mail: hoai-an.le-thi@univ-lorraine.fr</affiliation><role><roleTerm type="text">editor</roleTerm></role></name><genre type="book-series" authority="ISTEX" authorityURI="https://publication-type.data.istex.fr" valueURI="https://publication-type.data.istex.fr/ark:/67375/JMC-0G6R5W5T-Z">book-series</genre><originInfo><publisher>Springer</publisher><copyrightDate encoding="w3cdtf">2013</copyrightDate><issuance>monographic</issuance><edition>2013</edition></originInfo><subject><genre>Book-Subject-Collection</genre><topic authority="SpringerSubjectCodes" authorityURI="SUCO11647">Engineering</topic></subject><subject><genre>Book-Subject-Group</genre><topic authority="SpringerSubjectCodes" authorityURI="SCT">Engineering</topic><topic authority="SpringerSubjectCodes" authorityURI="SCT11014">Computational Intelligence</topic><topic authority="SpringerSubjectCodes" authorityURI="SCI22021">Image Processing and Computer Vision</topic><topic authority="SpringerSubjectCodes" authorityURI="SCM14068">Mathematical Modeling and Industrial Mathematics</topic></subject><identifier type="DOI">10.1007/978-3-319-00293-4</identifier><identifier type="ISBN">978-3-319-00292-7</identifier><identifier type="eISBN">978-3-319-00293-4</identifier><identifier type="ISSN">1860-949X</identifier><identifier type="eISSN">1860-9503</identifier><identifier type="BookTitleID">313242</identifier><identifier type="BookID">978-3-319-00293-4</identifier><identifier type="BookChapterCount">29</identifier><identifier type="BookVolumeNumber">479</identifier><identifier type="BookSequenceNumber">479</identifier><identifier type="PartChapterCount">10</identifier><part><date>2013</date><detail type="part"><title>Part I: Advanced Optimization Methods and Their Applications</title></detail><detail type="volume"><number>479</number><caption>vol.</caption></detail><extent unit="pages"><start>31</start><end>40</end></extent></part><recordInfo><recordOrigin>Springer International Publishing Switzerland, 2013</recordOrigin></recordInfo></relatedItem><relatedItem type="series"><titleInfo><title>Studies in Computational Intelligence</title></titleInfo><originInfo><publisher>Springer</publisher><copyrightDate encoding="w3cdtf">2013</copyrightDate><issuance>serial</issuance></originInfo><identifier type="ISSN">1860-949X</identifier><identifier type="eISSN">1860-9503</identifier><identifier type="SeriesID">7092</identifier><part><detail type="volume"><number>Part I</number><caption>vol.</caption></detail></part><recordInfo><recordOrigin>Springer International Publishing Switzerland, 2013</recordOrigin></recordInfo></relatedItem><identifier type="istex">C5846301B5F6C321C477C5099083B23A44AF6750</identifier><identifier type="ark">ark:/67375/HCB-R2ZZPKXC-N</identifier><identifier type="DOI">10.1007/978-3-319-00293-4_3</identifier><identifier type="ChapterID">3</identifier><identifier type="ChapterID">Chap3</identifier><accessCondition type="use and reproduction" contentType="copyright">Springer International Publishing Switzerland, 2013</accessCondition><recordInfo><recordContentSource authority="ISTEX" authorityURI="https://loaded-corpus.data.istex.fr" valueURI="https://loaded-corpus.data.istex.fr/ark:/67375/XBH-RLRX46XW-4">springer</recordContentSource><recordOrigin>Springer International Publishing Switzerland, 2013</recordOrigin></recordInfo></mods><json:item><extension>json</extension><original>false</original><mimetype>application/json</mimetype><uri>https://api.istex.fr/ark:/67375/HCB-R2ZZPKXC-N/record.json</uri></json:item></metadata><annexes><json:item><extension>xml</extension><original>true</original><mimetype>application/xml</mimetype><uri>https://api.istex.fr/ark:/67375/HCB-R2ZZPKXC-N/annexes.xml</uri></json:item></annexes></istex></record>Pour manipuler ce document sous Unix (Dilib)
EXPLOR_STEP=$WICRI_ROOT/Wicri/Lorraine/explor/InforLorV4/Data/Istex/Corpus
HfdSelect -h $EXPLOR_STEP/biblio.hfd -nk 002E85 | SxmlIndent | more
Ou
HfdSelect -h $EXPLOR_AREA/Data/Istex/Corpus/biblio.hfd -nk 002E85 | SxmlIndent | more
Pour mettre un lien sur cette page dans le réseau Wicri
{{Explor lien
|wiki= Wicri/Lorraine
|area= InforLorV4
|flux= Istex
|étape= Corpus
|type= RBID
|clé= ISTEX:C5846301B5F6C321C477C5099083B23A44AF6750
|texte= A DC Programming Framework for Portfolio Selection by Minimizing the Transaction Costs
}}
| This area was generated with Dilib version V0.6.33. |  |