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The mean–semivariances approach to realistic portfolio optimization subject to transaction costs

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  • F. Hamza
  • J. Janssen

Abstract

In this paper, we present a realistic portfolio optimization problem which takes into account real character istics of the portfolio which are disregarded in most optimization models. These are different transaction costs, minimum transaction units and investor's current portfolio holding. In order to obtain a greater realism in our problem modelling, a set of binary variables and disjunctive constraints can be introduced. Finally, we show that separable programming techniques can be applied successfully for solving our problem. Copyright © 1998 John Wiley & Sons, Ltd.

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  • F. Hamza & J. Janssen, 1998. "The mean–semivariances approach to realistic portfolio optimization subject to transaction costs," Applied Stochastic Models and Data Analysis, John Wiley & Sons, vol. 14(4), pages 275-283, December.
    • Handle: RePEc:wly:apsmda:v:14:y:1998:i:4:p:275-283
    DOI: 10.1002/(SICI)1099-0747(199812)14:43.0.CO;2-P
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    Cited by:

    1. Chen, Zhiping & Wang, Yi, 2008. "Two-sided coherent risk measures and their application in realistic portfolio optimization," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2667-2673, December.
    2. K. Chelhi & M. El Hachloufi & M. Aboulethar & A. Eddaoui & A. Marzak, 2017. "Estimation of Murabaha Margin," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(5), pages 1-3.
    3. Ruili Sun & Tiefeng Ma & Shuangzhe Liu & Milind Sathye, 2019. "Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review," JRFM, MDPI, vol. 12(1), pages 1-34, March.

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