Discrete Approximate Iteration Method on the Mean-semi-absolute Deviation Multiperiod Portfolio Selection
Peng Zhang · Science Technology and Engineering · 2008
The multiperiod mean-semi-absolute deviation portfolio selection model is proposed with the transaction costs and the constrainted on trade volumes and used special algorithm-the discrete approximate iteration method to solve it.Firstly,according to the network method,discretizes the state variables and transforms the model into multiperiod weighted digraph;Secondly,uses Jar-metric principle to solve the maximal path that is the admissible solution;At last,continues iterating until the two admissible solution is near based on the admissible solution.The convergence and complex of the method are also proved.