IDEAS home Printed from https://ideas.repec.org/a/wsi/ijtafx/v06y2003i04ns0219024903001979.html
   My bibliography  Save this article

Portfolio Optimization Of Small Scale Fund Using Mean-Absolute Deviation Model

Author

Listed:
  • HIROSHI KONNO

    (Department of Industrial and Systems Engineering, Chuo University, 1-13-27 Kasuga, Bunkyo-ku, Tokyo 112, Japan)

Abstract

The purpose of this paper is to show that we are now able to apply standard portfolio optimization methods to the management of small and medium scale fund, where transaction cost and minimal transaction unit constraints are not negligible.Unit transaction cost is usually larger when the amount of investment is smaller. Also, rounding of portfolio to the nearest integer multiple of minimal transaction unit will have non negligible effect on the risk-return structure of the portfolio.We will show that the use of mean-absolute deviation model enables one to handle concave transaction cost and minimal transaction unit constraints in an efficient manner using branch and bound algorithm. Also, we will show that the minimal transaction cost rebalancing problem can be solved by using the same algorithm.

Suggested Citation

  • Hiroshi Konno, 2003. "Portfolio Optimization Of Small Scale Fund Using Mean-Absolute Deviation Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(04), pages 403-418.
    • Handle: RePEc:wsi:ijtafx:v:06:y:2003:i:04:n:s0219024903001979
    DOI: 10.1142/S0219024903001979
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0219024903001979
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S0219024903001979?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Longsheng Cheng & Mahboubeh Shadabfar & Arash Sioofy Khoojine, 2023. "A State-of-the-Art Review of Probabilistic Portfolio Management for Future Stock Markets," Mathematics, MDPI, vol. 11(5), pages 1-34, February.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:ijtafx:v:06:y:2003:i:04:n:s0219024903001979. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/ijtaf/ijtaf.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.