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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 대한산업공학회 Industrial Engineering & Management Systems Industrial Engineering & Management Systems Vol.17 No.3
- 발행연도
- 2018.9
- 수록면
- 464 - 478 (15page)
- DOI
- 10.7232/iems.2018.17.3.464
이용수
초록· 키워드
오류제보하기
This paper proposes a credibilitic multiperiod mean-simivariance portfolio selection model with transaction costs, borrowing constraints, threshold constraints and cardinality constraints. In this model, the return rate of asset and the risk are quantified by credibilitic expected value and credibilitic semivariance, respectively. Threshold constraints limit the amount of capital to be invested in each stock and prevent very small investments in any stock. Based on credibilitic theories, the model is transformed into a mix integer dynamic optimization problem with path dependence. The proposed model is approximated to dynamic programming model. A novel discrete iteration method is designed to obtain the optimal portfolio strategy, and is proved linearly convergent. Finally, an example is given to illustrate the behavior of the proposed model and the designed algorithm using real data from the Shanghai Stock Exchange.
목차
ABSTRACT
1. INTRODUCTION
2. PRELIMINARIES
3. THE MULTIPERIOD PORTFOLIO SELECTION MODEL
4. SOLUTION ALGORITHM
5. NUMERICAL EXAMPLE
6. CONCLUSIONS
REFERENCES
참고문헌 (44)
참고문헌 신청
[학술지(정기간행물)] - Anagnostopoulos, K. P. / 2011 / The mean-variance cardinality constrained portfolio optimization problem: an experimental evaluation of five multiobjective evolutionary algorithms / Expert Systems with Applications 38 (11) : 14208 ~ 14217
[학술지(정기간행물)] - Arnott, R. D. / 1990 / The measurement and control of trading costs / Financial Analysts Journal 46 (6) : 73 ~ 80
[학술지(정기간행물)] - Bertsimas, D. / 2009 / Algorithms for cardinality-constrained quadratic optimization / Computational Optimization and Applications 43 (1) : 1 ~ 22
[학술지(정기간행물)] - Bertsimas, D. / 2008 / Robust multiperiod portfolio management in the presence of transaction costs / Computers and Operations Research 35 (1) : 3 ~ 17
[학술지(정기간행물)] - Bielecki, T. R. / 2005 / Continuous-time mean-variance portfolio selection with bankruptcy prohibition / Mathematical Finance 15 (2) : 213 ~ 244
[학술지(정기간행물)] - Arnott, R. D. / 1990 / The measurement and control of trading costs / Financial Analysts Journal 46 (6) : 73 ~ 80
[학술지(정기간행물)] - Bertsimas, D. / 2009 / Algorithms for cardinality-constrained quadratic optimization / Computational Optimization and Applications 43 (1) : 1 ~ 22
[학술지(정기간행물)] - Bertsimas, D. / 2008 / Robust multiperiod portfolio management in the presence of transaction costs / Computers and Operations Research 35 (1) : 3 ~ 17
[학술지(정기간행물)] - Bielecki, T. R. / 2005 / Continuous-time mean-variance portfolio selection with bankruptcy prohibition / Mathematical Finance 15 (2) : 213 ~ 244
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