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| Content Provider | Springer Nature Link |
|---|---|
| Author | Taka, Yuichi Gotoh, Jun ya |
| Copyright Year | 2010 |
| Abstract | We study the constant rebalancing strategy for multi-period portfolio optimization via conditional value-at-risk (CVaR) when there are nonlinear transaction costs. This problem is difficult to solve because of its nonconvexity. The nonlinear transaction costs and CVaR constraints make things worse; state-of-the-art nonlinear programming (NLP) solvers have trouble in reaching even locally optimal solutions. As a practical solution, we develop a local search algorithm in which linear approximation problems and nonlinear equations are iteratively solved. Computational results are presented, showing that the algorithm attains a good solution in a practical time. It is better than the revised version of an existing global optimization. We also assess the performance of the constant rebalancing strategy in comparison with the buy-and-hold strategy. |
| Starting Page | 191 |
| Ending Page | 211 |
| Page Count | 21 |
| File Format | |
| ISSN | 13872834 |
| Journal | Asia-Pacific Financial Markets |
| Volume Number | 18 |
| Issue Number | 2 |
| e-ISSN | 15736946 |
| Language | English |
| Publisher | Springer US |
| Publisher Date | 2010-10-26 |
| Publisher Place | Boston |
| Access Restriction | One Nation One Subscription (ONOS) |
| Subject Keyword | Multi-period portfolio optimization Constant rebalancing Transaction cost Conditional value-at-risk Market impact cost Econometrics International Economics Economic Theory Financial Economics Finance /Banking |
| Content Type | Text |
| Resource Type | Article |
| Subject | Finance |
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