MEAN-ABSOLUTE DEVIATION PORTFOLIO OPTIMIZATION MODEL UNDER TRANSACTION COSTS

Hiroshi Konno · Annista Wijayanayake

72 citations0/0 files storedJournal of the Operations Research Society of Japan

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Risk and Portfolio Optimization Financial Risk and Volatility Modeling Optimization and Mathematical Programming

Abstract

We will propese a branch and bound algoriLhm for solving a portfolio optimization model under nonconvex transaction costs, It is well knewn that the llnit transaction cost is larger when the amollnt of

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References

1959Portfolio Selection: Efficient Diversification of Investments 1982Modern Portfolio Theory and Investment Analysis.1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market 1999From stochastic dominance to mean-risk models: Semideviations as risk measures 1984Large-Scale Portfolio Optimization

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2008Metaheuristics for the Portfolio Selection Problem 2010Mean–Absolute Deviation Model 2002Risk Management for Hedge Fund Portfolios 2016Random fuzzy mean-absolute deviation models for portfolio optimization problem with hybrid uncertainty 2002Portfolio optimization under D.C. transaction costs and minimal transaction unit constraints 2005Optimization of a Long-Short Portfolio under Nonconvex Transaction Cost 2005Global Optimization Versus Integer Programming in Portfolio Optimization under Nonconvex Transaction Costs 2005On Extending the LP Computable Risk Measures to Account Downside Risk

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