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Keywords
(11)
Active Set Method
Large Scale
Largescale Problem
Objective Function
Optimal Portfolio
piecewise linear
Portfolio Optimization
primaldual interior point method
Quadratic Program
Transaction Cost
Mean Variance
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(1)
Minimizing CVaR and VaR for a Portfolio of Derivatives
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Large scale portfolio optimization with piecewise linear transaction costs
Large scale portfolio optimization with piecewise linear transaction costs,10.1080/00207160802263858,Optimization Methods & Software,Marina Potaptchik
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Large scale portfolio optimization with piecewise linear transaction costs
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Citations: 3
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Marina Potaptchik
,
Levent Tunçel
,
Henry Wolkowicz
We consider the fundamental problem of computing an
optimal portfolio
based on a quadratic meanvariance model for the
objective function
and a given polyhedral representation of the constraints. The main departure from the classical quadratic programming formulation is the inclusion in the
objective function
of piecewise linear, separable functions representing the transaction costs. We handle the nonsmoothness in the
objective function
by using spline approximations. The problem is first solved approximately using a primaldual interiorpoint method applied to the smoothed problem. Then, we crossover to an
active set method
applied to the original nonsmooth problem to attain a high accuracy solution. Our numerical tests show that we can solve
large scale
problems efficiently and accurately.
Journal:
Optimization Methods & Software  OPTIM METHOD SOFTW
, vol. 23, no. 6, pp. 929952, 2008
DOI:
10.1080/00207160802263858
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Citation Context
(2)
...In [12, 23, 25,
27
] transaction costs are modeled as linear or piecewise linear functions...
E. G. Birgin
,
et al.
Low ordervalue approach for solving VaRconstrained optimization prob...
...variance portfolio optimization with piecewise linear transaction costs, [2] and [
18
] pro...
...jective. On the other hand, in [
18
], interior point method is used (in locating the initial...
...methods do. To get the merits from both methods, [
18
] proposed a crossover method: in...
...Strategy proposed in [
18
] is designed to deal with a convex program with an objective...
...(4.7) (for some xed " > 0)) can be computed eciently. [
18
] proposed that...
...[
18
] proposed the above crossover technique in the setting of convex program, and the...
YuenLam Cheung
.
Portfolio Optimization via DownsideRisk Aversion Model
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(
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Journal:
Annals of Operations Research  Annals OR
, vol. 152, no. 1, pp. 341365, 2007
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Citations
(3)
Low ordervalue approach for solving VaRconstrained optimization problems
(
Citations: 2
)
E. G. Birgin
,
L. F. Bueno
,
N. Krejić
,
J. M. Martínez
Journal:
Journal of Global Optimization
, pp. 128, 2011
Semidenite and Cone Programming Bibliography/Comments
Henry Wolkowicz
Published in 2001.
Portfolio Optimization via DownsideRisk Aversion Model
YuenLam Cheung