Name
Title | ||
|---|---|---|
Warm-Start Heuristic for Stochastic Portfolio Optimization with Fixed and Proportional Transaction Costs |
Abstract | ||
|---|---|---|
We consider a probabilistic portfolio optimization model including fixed and proportional transaction costs. We derive a deterministic equivalent of the probabilistic model for fat-tailed portfolio returns. We develop a method which finds provably near-optimal solutions in minimal amount of time for industry-sized (up to 2000 assets) problems. To solve the mixed-integer nonlinear programming (MINLP) deterministic formulation equivalent to the stochastic problem, we design a mathematical programming-based warm-start heuristic. The tests show the computational efficiency of the heuristic which is more than an order of magnitude faster than Cplex in finding high-quality solutions. |
Year | DOI | Venue |
|---|---|---|
2014 | 10.1007/s10957-013-0348-y | Journal of Optimization Theory and Applications |
Keywords | Field | DocType |
fat-tailed returns,large-scale optimization,transaction costs,portfolio optimization,stochastic programming | Heuristic,Mathematical optimization,Stochastic optimization,Robust optimization,Nonlinear programming,Portfolio,Portfolio optimization,Probabilistic logic,Stochastic programming,Mathematics | Journal |
Volume | Issue | ISSN |
161 | 1 | 1573-2878 |
Citations | PageRank | References |
6 | 0.48 | 17 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Tiago Pascoal Filomena | 1 | 27 | 2.41 |
| Miguel A. Lejeune | 2 | 253 | 21.95 |