A portfolio model with quadratic subsection concave transaction costs based on PSO

2009 Chinese Control and Decision Conference, CCDC 2009

Volumn , Issue , 2009, Pages 1895-1898

  Xu, Fasheng ^a   Chen, Wei ^b  

^a UNIVERSITY OF JINAN   (China)

^b CAPITAL UNIVERSITY OF ECONOMICS AND BUSINESS   (China)

Author keywords

Improved particle swarm optimization; Portfolio selection; Transaction costs

Indexed keywords

EXACT ALGORITHMS; IMPROVED PARTICLE SWARM OPTIMIZATION; NUMERICAL EXAMPLE; OPTIMAL PORTFOLIO SELECTION; PORTFOLIO MODEL; PORTFOLIO SELECTION; PORTFOLIO SELECTION MODELS; QUADRATIC PROGRAMMING PROBLEMS; STANDARD GENETIC ALGORITHM; TRANSACTION COST; TRANSACTION COSTS;

COSTS; QUADRATIC PROGRAMMING; REACTIVE POWER;

PARTICLE SWARM OPTIMIZATION (PSO);

EID: 70449338757     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/CCDC.2009.5192849     Document Type: Conference Paper

References (30)

1. H. Markowitz, Portfolio selection, Journal of Finance 7:77-91, 1952.
2. W.F. Sharpe, Portfolio Theory and Capital Markets, McGraw-Hill, New York, 1970.
3. H.M. Markowitz, Analysis in Portfolio Choice and Capital Markets, Oxford, Basil Blackewell, 1987.
4. R.C. Merton, An analytic derivation of the efficient frontier, J. Finance Quantitative Anal, 1851-1872, 1972.
5. M.J. Best, J. Hlouskova, The efficient frontier for bounded assets, Math. Meth. Oper. Res, 52:195-212, 2000.
6. R. D. Arnott, W. H. Wanger, The Measurement and Control of Trading Costs, Financial Analysts Journal, 46(6):73-80, 1990.
7. N.R Patel, N Subrahmanyam, A simple algorithm for optimal portfolio selection with fixed transaction costs, Management Science, 28:303-314, 1982.
8. J. C. T. Mao, Essentials of portfolio diversification strategy, Journal of Finance, 25: 1109-1121, 1970.
9. N. L. Jacob, A limited-diversication portfolio selection model for the small investor, Journal of Finance, 29: 847-856, 1975.
10. M. J. Brennan, The optimal number of securities in a risky asset portfolio when there are fixed costs of transaction: theory and some empirical results, Journal of Financial Quantitative Analysis, 10:483-496, 1975.
11. H. Levy, Equilibrium in an imperfect market: a constraint on the number of securities in the portfolio, American Economics Rev., 68:643-658, 1978.
12. N.R. Patel, M.G. Subrahmanyam, A simple algorithm for optimal portfolio selection with fixed transaction costs, Management Science, 28:303-314, 1982.
13. G.A. Pogue, An extension of the Markowitz portfolio selection model to include variable transaction costs, short sales, leverage policies and taxes, Journal of Finance, 25:1005-1028, 1970.
14. A. Yoshimoto, The Mean-Variance Approach to Portfolio Optimization subject to Transaction Costs, Journal Research Society of Japan, 39:99-117, 1996.
15. Z.F. Li, S.Y. Wang, X.T Deng, A linear programming algorithm for optimal portfolio selection with transaction, International Journal of Systems Science, 31:107-117, 2000.
16. W.G. Zhang, The portfolio adjusting problem with transaction costs and lending based on possibility theory, European Journal of Operational Research, Available online, 2007.
17. F Xu, W. Chen, L. Yang, Improved particle swarm optimization for realistic portfolio selection Proceedings - SNPD 2007: Eighth ACIS International Conference on Software Engineering, Artificial Intelligence, Networking, and Parallel/Distributed Computing, 185-190, 2007.
18. J.M. Mulvey, H. Vladimirou, Stochastic network programming for financial planning problems, Management Science, 38:1642-1664, 1992.
19. G.B. Dantzig, G. Infanger, Multi-stage stochastic linear programs for portfolio optimization, Annals of Operations Research, 45:59-76, 1993.
20. T-J Chang, N Meade, J Beasley, Y Sharaiha, Heuristics for Cardinality Constrained Portfolio Optimization. Computers and Operations Research, 27:1271-1302, 2000.
21. R. Mansini, M. G. Speranza, Heuristic Algorithms for the Portfolio Selection Problem with Minimum Transaction Lots, Eur. J. Oper. Res, 114:219-233, 1999.
22. M. G. Speranza, A heuristic algorithm for a portfolio optimization model applied to the Milan stock market, Computers and Operations Research, 23(5):433-441, 1996.
23. Y. Crama, M. Schyns, Simulated Annealing for Complex Portfolio Selection Problems, Euopean Journal of Oprational Research, 150:546-571, 2003.
24. N. J. Jobst, M. D. Horniman, C. A. Lucas, and G. Mi-tra, Computational Aspects of Alternative Portfolio Selection Models in the Presence of Discrete Asset Choice Constraints, Quantit. Finance, 1:1-13, 2001.
25. H. Kellerer, R. Mansini, M. G. Speranza, Selecting Portfolios with Fixed Costs and Minimum Transaction Lots, Ann. Oper. Res, 99:287-304, 2000.
26. A. Fernández, S. Gómez, Portfolio Selection Using Neural Networks, Computers and Operations Research, 34:1177-1191, 2007.
27. J. Kennedy, R.C. Eberhart, Particle Swarm Optimiza-tion(A), Proceedings of IEEE International Conference on Neural Networks, 10: 1942-1948, 1995.
28. R. Eberhart, J. Kennedy, A New Optimizer Using Particle Swarm Theory(A), In Proc. 6th Int Sympossum on Micro Machine and Human Science, 11: 39-43, 1995.
29. Y.H. Zhou, X. Zhang, Z.Y. Mao, Evolutionary Algorithm for Constrained Optimization Using Nondifferentiable Exact Penalty Function, Mini-Micro Systems, 8:1464-1467, 2004.
30. S. Liu, S.Y. Wang, W. Qiu, A Game Theory Approach for Portfolio Selection, System Engineering Theory and Practice, 5:88-92, 2001.