InforLorV4, Main, Exploration, bibRecord, 001672

A DC Programming Framework for Portfolio Selection by Minimizing the Transaction Costs

Identifieur interne : 001672 ( Main/Exploration ); précédent : 001671; suivant : 001673

A DC Programming Framework for Portfolio Selection by Minimizing the Transaction Costs

Auteurs : Pham Viet-Nga [France] ; Hoai An Le Thi [France] ; Pham Dinh Tao [France]

Source :

Studies in Computational Intelligence [ 1860-949X ]

RBID : ISTEX:C5846301B5F6C321C477C5099083B23A44AF6750

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:

https://api.istex.fr/ark:/67375/HCB-R2ZZPKXC-N/fulltext.pdf

DOI: 10.1007/978-3-319-00293-4_3

Affiliations:

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<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>
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A DC Programming Framework for Portfolio Selection by Minimizing the Transaction Costs

A DC Programming Framework for Portfolio Selection by Minimizing the Transaction Costs

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Abstract

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