リバランス・コストを考慮したポートフォリオ最適化システム

概要

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Trading costs are the major concern for portfolio managers.Due to nonlinearity of the cost function.the ordinary quadratic programming solution technique cannot be applied to solve portfolio optimization problems subject to trading costs.In this paper,I address the portfolio optimization problem in which trading costs are directly incorporated.The cost is assumed to be a V-shaped function of a difference between an existing and a new portfolios.The portfolio optimization system called POSTRAC(Portfolic Qptimization System with TRAding Cost)is proposed.POSTRAC is designed to predict a future return of security by means of both the simple regression model(SRM)and the moving average model(MAM)as well as to perform the optimization process.The nonlinear programming software.GAMS.[1].is incorporated into the system.
一般社団法人情報処理学会の論文
1992-09-28