A compromise solution to mutual funds portfolio selection with transaction costs
文献类型：期刊论文
| 作者 | Xia, YS; Wang, SY; Deng, XT |
| 刊名 | EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
 |
| 出版日期 | 2001-11-01 |
| 卷号 | 134期号:3页码:564-581 |
| ISSN号 | 0377-2217 |
| 关键词 | portfolio selection compromise solution transaction cost direct utility method genetic algorithm |
| 英文摘要 | This paper considers the portfolio selection problem with transaction costs which are assumed to be a V-shaped function of the difference between an existing portfolio and a new one. Under some assumptions on the variance-covariance matrix of returns, we derive a compromise solution to this portfolio selection problem by solving a linear program, The compromise solution is then extended to include a riskless asset which allows short sale. We also compare the results of our compromise solution with results derived by the direct utility function method, which is solved by a specially designed genetic algorithm in this paper. Results show that the expected return and the standard deviation of the compromise solution are both smaller than those solutions from the direct utility function method. (C) 2001 Elsevier Science B.V. All rights reserved. |
| WOS研究方向 | Business & Economics ; Operations Research & Management Science |
| 语种 | 英语 |
| 出版者 | ELSEVIER SCIENCE BV |
| WOS记录号 | WOS:000170961300009 |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/16839]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Wang, SY |
| 作者单位 | 1.Univ Texas, Dept Management Sci & Informat Syst, Austin, TX USA 2.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China 3.City Univ Hong Kong, Dept Comp Sci, Hong Kong, Hong Kong, Peoples R China |
| 推荐引用方式 GB/T 7714 | Xia, YS,Wang, SY,Deng, XT. A compromise solution to mutual funds portfolio selection with transaction costs[J]. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH,2001,134(3):564-581. |
| APA | Xia, YS,Wang, SY,&Deng, XT.(2001).A compromise solution to mutual funds portfolio selection with transaction costs.EUROPEAN JOURNAL OF OPERATIONAL RESEARCH,134(3),564-581. |
| MLA | Xia, YS,et al."A compromise solution to mutual funds portfolio selection with transaction costs".EUROPEAN JOURNAL OF OPERATIONAL RESEARCH 134.3(2001):564-581. |
入库方式： OAI收割
来源：数学与系统科学研究院
浏览0
下载0
收藏0
其他版本
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。