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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 대한산업공학회 Industrial Engineering & Management Systems Industrial Engineering & Management Systems Vol.16 No.1
- 발행연도
- 2017.3
- 수록면
- 118 - 128 (11page)
이용수
초록· 키워드
오류제보하기
Uncertain factors in finical markets make the prediction of future returns and risk of asset much difficult. In this paper, a model,assuming the admissible errors on expected returns and risks of assets, assisted in the multiperiod mean variance portfolio selection problem is built. The model considers transaction costs, upper bound on borrowing risk-free asset constraints, cardinality constraints and threshold constraints. Cardinality constraints limit the number of assets to be held in an efficient portfolio. At the same time, threshold constraints limit the amount of capital to be invested in each stock and prevent very small investments in any stock. Because of these limitations, the proposed model is a mix integer dynamic optimization problem with path dependence. The forward dynamic programming method is designed to obtain the optimal portfolio strategy. Finally, to evaluate the model, our result of a meaning example is compared to the terminal wealth under different constraints.
목차
ABSTRACT
1. INTRODUCTION
2. THE ADMISSIBLE MULTIPERIOD PORTFOLIO SELECTION MODEL
3. SOLUTION ALGORITHM
4. NUMERICAL EXAMPLE
5. CONCLUSIONS
REFERENCES
참고문헌 (46)
참고문헌 신청
Anagnostopoulos, K. P. and Mamanis, G. (2011), The mean-variance cardinality constrained portfolio optimization problem: An experimental evaluation of five multiobjective evolutionary algorithms, Expert Systems with Applications, 38, 14208-14217.
Bertsimas, D. and Shioda, R. (2009), Algorithms for cardinality- constrained quadratic optimization, Computational Optimization and Applications, 43, 1-22.
Bienstock, D. (1996), Computational study of a family of mixed-integer quadratic programming problems, Mathematical Programming, 74, 121-140.
Bodnar, T., Parolya, N. and Schmid, W. (2015), A closedform solution of the multi-period portfolio choice problem for a quadratic utility function, Annals of Operations Research, 229(1), 121- 158.
Brandt, M. and Santa-Clara, P. (2006), Dynamic portfolio selection by augmenting the asset space, The Journal of Finance, 61, 2187-2217.
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UCI(KEPA) : I410-ECN-0101-2017-530-002373477