Treffer: VaR optimal portfolio with transaction costs

Title:
VaR optimal portfolio with transaction costs
Authors:
KREJIC, Natasa, KUMARESAN, Miles, ROZNJIK, Andrea
Source:
Applied mathematics and computation. 218(8):4626-4637
Publisher Information:
Amsterdam: Elsevier, 2011.
Publication Year:
2011
Physical Description:
print, 24 ref
Original Material:
INIST-CNRS
Subject Terms:
Control theory, operational research, Automatique, recherche opérationnelle, Computer science, Informatique, Mathematics, Mathématiques, Sciences exactes et technologie, Exact sciences and technology, Sciences et techniques communes, Sciences and techniques of general use, Mathematiques, Mathematics, Analyse mathématique, Mathematical analysis, Calcul des variations et contrôle optimal, Calculus of variations and optimal control, Analyse numérique. Calcul scientifique, Numerical analysis. Scientific computation, Analyse numérique, Numerical analysis, Algèbre linéaire numérique, Numerical linear algebra, Méthodes numériques en programmation mathématique, optimisation et calcul variationnel, Numerical methods in mathematical programming, optimization and calculus of variations, Optimisation et calcul variationnel numériques, Numerical methods in optimization and calculus of variations, Algèbre linéaire numérique, Numerical linear algebra, Algebra lineal numérica, Analyse numérique, Numerical analysis, Análisis numérico, Calcul variationnel, Variational calculus, Cálculo de variaciones, Convergence, Convergencia, Fonction coût, Cost function, Función coste, Mathématiques appliquées, Applied mathematics, Matemáticas aplicadas, Modèle non linéaire, Non linear model, Modelo no lineal, Méthode itérative, Iterative method, Método iterativo, Méthode lissage, Smoothing methods, Méthode optimisation, Optimization method, Método optimización, Programmation mathématique, Mathematical programming, Programación matemática, Système linéaire, Linear system, Sistema lineal, 49XX, 65F08, 65F10, 65K10, 65Kxx, Market impact, Portfolio optimization, SVaR, Transaction costs, VaR
Document Type:
Fachzeitschrift Article
File Description:
text
Language:
English
Author Affiliations:
Department of Mathematics and Informatics, University of Novi Sad, Trg Dositeja Obradovića 4, 21000 Novi Sad, Serbia
Algonetix LLP, Berkeley Square House, Berkeley Square, London W1J 6BD, United Kingdom
Faculty of Civil Engineering, University of Novi Sad, Kozaračka 2a, 24000 Subotica, Serbia
ISSN:
0096-3003
Access URL:
http://pascal-francis.inist.fr/vibad/index.php?action=search&terms=25313165
Rights:
Copyright 2015 INIST-CNRS
CC BY 4.0
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
Notes:
Mathematics
Accession Number:
edscal.25313165
Database:
PASCAL Archive

Weitere Informationen

We consider the problem of portfolio optimization under VaR risk measure taking into account transaction costs. Fixed costs as well as impact costs as a nonlinear function of trading activity are incorporated in the optimal portfolio model. Thus the obtained model is a nonlinear optimization problem with nonsmooth objective function. The model is solved by an iterative method based on a smoothing VaR technique. We prove the convergence of the considered iterative procedure and demonstrate the nontrivial influence of transaction costs on the optimal portfolio weights.