Optimization of a Long-Short Portfolio under Nonconvex Transaction Cost
نویسندگان
چکیده
The purpose of this paper is to propose a practical branch and bound algorithm for solving a class of long-short portfolio optimization problem with concave and d.c. transaction cost and complementarity conditions on the variables. We will show that this algorithm can solve a problem of practical size and that the longshort strategy leads to a portfolio with significantly better risk-return structure compared with standard purchase only portfolio both in terms of ex-ante and ex-post performance
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عنوان ژورنال:
- Comp. Opt. and Appl.
دوره 32 شماره
صفحات -
تاریخ انتشار 2005