Algorithmic Studies on Portfolio Optimization and Asset Pricing and Transaction Cost

投资组合优化与资产定价和交易成本的算法研究

• 批准号: 09558046
• 负责人: KONNO Hiroshi
• 金额: $ 4.8万
• 依托单位: Tokyo Institute of Technology
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (B)
• 财政年份: 1997
• 资助国家: 日本
• 起止时间: 1997 至 1998
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-09558046/
• 关键词: transaction cost; portfolio management; mean-absolute deviation model; global optimization; branch and bound; d.c.optimization; 大規模最適化; 確率制御問題

We showed that portfolio optimization problems under concave transaction cost can be solved by a newly developed branch and bound algorithm. This class of problems have long been considered to be intractable in the field of mathematical optimization. Our success depends upon the use of absolute deviation instead of variance as a measure of risk, which enables one to apply a number of efficient schemes developed in the field of linear programming. We believe that this method can serve as a basic tool for handling yet more difficult d.c. optimization problems associated with market impact cost.We also showed that an exact treatment of concave transaction cost leads to a significantly different portfolio compared with those obtained by its linear approximation.

本文证明了一种新的分支定界算法可以求解交易成本为凹的投资组合优化问题。这类问题长期以来被认为是数学优化领域中难以解决的问题。我们的成功取决于使用绝对偏差而不是方差作为风险度量，这使得人们能够应用线性规划领域中开发的许多有效方案。我们相信这种方法可以作为处理与市场影响成本相关的更困难的直流优化问题的基本工具。我们还发现，精确地处理凹交易成本会导致与线性近似得到的投资组合有显著不同。

项目成果

Hiroshi SHIRAKAWA: "Stochastic Analysis of Continuous Time Universal Portfolio" Department of Industrial Engineering and Management. 9. (1997)

Hiroshi SHIRAKAWA：“连续时间通用投资组合的随机分析”工业工程与管理系。

田川 勉,白川 浩: "一般化Faure列による準乱数とそのオプション評価への応用" ジャフィージャーナル. (掲載予定).

Tsutomu Takawa、Hiroshi Shirakawa：“使用广义 Faure 序列的准随机数及其在选项评估中的应用”Jaffee Journal（即将出版）。

Finance Hand book.

财务手册。

• 发表时间: 1997
• 作者: Hiroshi Konno;Koichi Furukawa (eds. )
• 通讯作者: Koichi Furukawa (eds. )

理財工学II、数理計画性による資産運用最適化

金融工程II、通过数学规划优化资产管理

• 发表时间: 1998
• 作者: 今野 浩

Hiroshi Konno: "An International Portfolio Optimization Model Hedged with forward Currency Contracts" Financial engineering and Hapanese Markets. 4. 275-286 (1997)

Hiroshi Konno：“用远期货币合约对冲的国际投资组合优化模型”金融工程和哈帕尼亚市场。