THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS

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概要

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• Transaction costs are a source of concern for portfolio managers. Due to nonlinearity of the cost function, the ordinary quadratic programming solution technique cannot be applied. This paper addresses the portfolio optimization problem subject to transaction costs. The transaction cost is assumed to be a V-shaped function of difference between an existing and new portfolio. A nonlinear programming solution technique is used to solve the proposed problem. The portfolio optimization system called POSTRAC (Portfolio Optimization System with TRAnsaction Costs) is proposed. The experimental analysis indicates that ignoring the transaction costs results in inefficient portfolios. It is also shown that there does not exist statistically significant difference in portfolio performance with different methods to estimate the expected return of securities, when considering the transaction costs into the portfolio return.

• 社団法人日本オペレーションズ・リサーチ学会の論文

著者

• Yoshimoto Atsushi

  Department Of Agricultural & Forest Economics Miyazaki University

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