Constant rebalanced portfolio optimization under nonlinear transaction costs
Constant rebalanced portfolio optimization under nonlinear transaction costs
复制标题
非线性交易成本下不断再平衡的投资组合优化
DOI：
10.1007/s10690-010-9130-4
复制
发表时间：
2011
影响因子：
1.7
通讯作者：
Y. Takano and J. Gotoh
中科院分区：
文献类型：
--
作者：
Iwamoto N;Ito S;Kobayashi M;Kumagai Y;Y. Takano and J. Gotoh
研究了存在非线性交易成本时，基于条件风险价值（CVaR）的多期投资组合优化的不断再平衡策略。这个问题由于其非凸性而难以求解。非线性交易成本和CVaR约束使情况变得更糟;最先进的非线性规划（NLP）求解器甚至难以达到局部最优解。作为一个实际的解决方案，我们开发了一个局部搜索算法，其中线性逼近问题和非线性方程组迭代求解。计算结果表明，该算法在实际时间内获得了较好的解。它比现有的全局优化的修订版本更好。我们还评估了不断再平衡策略与买入并持有策略的表现。
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.