Abstract
In this paper we consider the problem of selecting assets for which transaction costs are given by piecewise affine functions. Given practical constraints related to budget and buy-in thresholds, our purpose is to determine the number of each asset i that can produce the maximum return of a portfolio composed of (n + 1) assets (one of them is free of risk). The problem is formulated as an integer quadratic problem and afterwards linearized. Some numerical experiments, using Ilog Cplex 10.1, has been performed. They show that the methodology is promising.
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© 2008 Springer-Verlag Berlin Heidelberg
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Lemrabott, M., Gueye, S., Yassine, A., Rakotondratsimba, Y. (2008). Portfolio Selection under Piecewise Affine Transaction Costs: An Integer Quadratic Formulation. In: Le Thi, H.A., Bouvry, P., Pham Dinh, T. (eds) Modelling, Computation and Optimization in Information Systems and Management Sciences. MCO 2008. Communications in Computer and Information Science, vol 14. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-87477-5_21
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DOI: https://doi.org/10.1007/978-3-540-87477-5_21
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-87476-8
Online ISBN: 978-3-540-87477-5
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