Minimal concave cost rebalance of a portfolio to the efficient frontier

Mathematical Programming, Series B

Volumn 97, Issue 3, 2003, Pages 571-585

  Konno, Hiroshi ^a   Yamamoto, Rei ^a  

^a CHUO UNIVERSITY   (Japan)

Author keywords

Concave cost minimization; Global optimization; Mean absolute deviation model; Optimization over the efficient set; Portfolio optimization; Rebalance

Indexed keywords

CONCAVE COST MINIMIZATION; MEAN ABSOLUTE DEVIATION MODEL; PORTFOLIO OPTIMIZATION; REBALANCE;

ALGORITHMS; FINANCE; GLOBAL OPTIMIZATION; PROBLEM SOLVING;

COMPUTATIONAL METHODS;

EID: 21244487719     PISSN: 00255610     EISSN: None     Source Type: Journal    
DOI: 10.1007/s10107-003-0428-0     Document Type: Article

References (13)

1. Falk, J.E., Soland, R.M.: An algorithm for separable nonconvex programming problems. Management Science 15, 550-569 (1969)
2. Gotoh, J., Konno, H.: Third degree slochastic dominance and mean-risk analysis. Management Science 46, 289-301 (2000)
3. Konno, H., Yamazaki, H.: Mean-absolute deviation portfolio optimization model and its application to tokyo stock market. Management Science 37, 519-531 (1991)
4. Konno, H., Wijayanayake, A.: Mean-Absolute Deviation Portfolio Optimization Model under Transaction Costs. J. Oper. Res. Society of Japan 42, 422-435 (1999)
5. Konno, H., Wijayanayake, A.: Portfolio optimization problems with concave transaction costs and minimal transaction unit constraints. Math. Program. 89, 233-250 (2001)
6. Markowitz, H.: Portfolio Selection: Efficient Diversification of Investments. John Wiley & Sons, 1959
7. Mulvey, J.M., Ziemba, W.T.: Asset and Liability Allocation in Global Environment. In: Finance (Jarrow al, R. ed), North Holland, 1995
8. Ogryczak, W., Ruszczynski, A.: From stochastic dominance to mean-risk model: semideviation as the risk measures. Eurapean J. of Operational Research 116, 33-50 (1999)
9. Ogryczak,W., Ruszczynski, A.: On consistency of stochastic dominance and mean-semideviation models. Math. Program. 89, 217-232 (2001)
10. Perold, A.: Large scale prtofolio optimization. Management Science 30, 1143-1160 (1984)
11. Phong, T.Q., An, L.T.H., Tao, P.D.: On globally solving linearly constrained indefinite quadratic minimization problems by decomposition branch and bound method. Operations Research Letters, 17, 215-220 (1995)
12. Tuy, H.: Convex Analysis and Global Optimization. (Kluwer Academic Publishers, 1998)
13. Yamamoto, Y.: Optimization over the Efficient Set: Overview. J. of Global Optimization 22, 285-317 (2002)