Portfolio rebalancing with transaction costs and a minimal purchase unit
文献类型：期刊论文
| 作者 | Fang, Y ; Lai, KK; Wang, SY
|
| 刊名 | DYNAMICS OF CONTINUOUS DISCRETE AND IMPULSIVE SYSTEMS-SERIES B-APPLICATIONS & ALGORITHMS
 |
| 出版日期 | 2005-08-01 |
| 卷号 | 12期号:4页码:499-515 |
| 关键词 | portfolio rebalancing transaction costs minimal purchase unit semi-absolute deviation risk function mixed-integer linear programming problem |
| ISSN号 | 1492-8760 |
| 英文摘要 | A mean semi-absolute deviation model is proposed for portfolio rebalancing with transaction costs and taxes. Considering the existence of a minimal purchase unit of securities, a mixed integer linear programming model is proposed. Due to the high computational complexity of the model, a heuristic algorithm is proposed. An example is given to illustrate that the model and the heuristic algorithm can be used efficiently to solve portfolio rebalancing problem by using real data from the Shanghai Stock Exchange. |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000232424400003 |
| 出版者 | WATAM PRESS |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/1724]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Fang, Y |
| 作者单位 | 1.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China 2.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China |
| 推荐引用方式 GB/T 7714 | Fang, Y,Lai, KK,Wang, SY. Portfolio rebalancing with transaction costs and a minimal purchase unit[J]. DYNAMICS OF CONTINUOUS DISCRETE AND IMPULSIVE SYSTEMS-SERIES B-APPLICATIONS & ALGORITHMS,2005,12(4):499-515. |
| APA | Fang, Y,Lai, KK,&Wang, SY.(2005).Portfolio rebalancing with transaction costs and a minimal purchase unit.DYNAMICS OF CONTINUOUS DISCRETE AND IMPULSIVE SYSTEMS-SERIES B-APPLICATIONS & ALGORITHMS,12(4),499-515. |
| MLA | Fang, Y,et al."Portfolio rebalancing with transaction costs and a minimal purchase unit".DYNAMICS OF CONTINUOUS DISCRETE AND IMPULSIVE SYSTEMS-SERIES B-APPLICATIONS & ALGORITHMS 12.4(2005):499-515. |
入库方式： OAI收割
来源：数学与系统科学研究院
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