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Optimization costs of switching portfolio as transportation problem

Author

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  • Krzysztof Piasecki

Abstract

Wszystkie koszty generowane przez prowizje maklerskie są w łączone do zadania optymalizacji portfela. Transformacja portfela jest opisana jako zadanie transportowe. Minimalne koszty transformacji portfela są osiągnięte za pomocą pewnego rodzaju otwartego zadania optymalizacyjnego. Naszkicowano możliwość korygowania stopy zwrotu portfela optymalnego obciążonego kosztami transakcji.

Suggested Citation

  • Krzysztof Piasecki, 2004. "Optimization costs of switching portfolio as transportation problem," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 14(2), pages 51-60.
    • Handle: RePEc:wut:journl:v:2:y:2004:p:51-60
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    Cited by:

    1. Seifoddini , Jalal & Rahnamay Roodposhti , Fraydoon & Nikoomaram , Hashem, 2015. "Parametric Estimates of High Frequency Market Microstructure Noise as an Unsystematic Risk," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 10(4), pages 29-50, October.

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