An algorithm for portfolio selection in a frictional market

被引：16

作者：

Liu, Mingming ^{[1
]}

Gao, Yan ^{[1
]}

机构：

[1] Shanghai Univ Sci & Technol, Sch Management, Shanghai 20093, Peoples R China

来源：

APPLIED MATHEMATICS AND COMPUTATION | 2006年 / 182卷 / 02期

关键词：

portfolio selection; MAD model; optimization;

D O I：

10.1016/j.amc.2006.05.048

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Absolute deviation is utilized as a measure of risk and a new function is provided for it. We consider the mean-absolute deviation (MAD) portfolio optimization problem in a frictional market with additional constraints representing the so-called short sales. An algorithm for solving the optimization problem is thus presented, which uses the special structure of the original problem to reduce to a linear programming. The numerical test shows the validity of the method. (c) 2006 Elsevier Inc. All rights reserved.

引用

页码：1629 / 1638

页数：10

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