Optimization on the Mean-variance Portfolio Selection with Qadratic Subsection Concave Transaction Costs
Zhongzhen Zhang · Science Technology and Engineering · 2008
The transaction costs can't be ignored in investment. When the transaction volumes are small, the unit cost is big. When the transaction volumes are increasing, the unit cost is decreasing. When the transaction volumes are bigger than some value, the unit cost doesn't change. A mean-variance portfolio selection model with qadratic subsection concave transaction costs is proposed and the pivoting algorithm and branch bound algorithm are used to solve it. At last, the optimal investment strategies of different expected rates through Chinese security market data is calculated.