Portfolio revision under mean-variance and mean-CVaR with transaction costs

被引：0
|
作者：
Chen, Andrew [1 ]
Fabozzi, Frank [2 ]
Huang, Dashan [3 ]
机构：
[1] Southern Methodist Univ, Edwin L Cox Sch Business, Dallas, TX 75275 USA
[2] EDHEC Business Sch, Finance Dept, Nice, France
[3] Washington Univ, Olin Sch Business, Finance Dept, St Louis, MO 63130 USA
来源：
REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING | 2012年 / 39卷 / 04期
关键词：
Portfolio revision; Transaction costs; Mean-variance; Conditional value-at-risk (CVaR);
D O I：
10.1007/s11156-012-0292-1
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The portfolio revision process usually begins with a portfolio of assets rather than cash. As a result, some assets must be liquidated to permit investment in other assets, incurring transaction costs that should be directly integrated into the portfolio optimization problem. This paper discusses and analyzes the impact of transaction costs on the optimal portfolio under mean-variance and mean-conditional value-at-risk strategies. In addition, we present some analytical solutions and empirical evidence for some special situations to understand the impact of transaction costs on the portfolio revision process.
引用
收藏
页码：509 / 526
页数：18
相关论文
共 50 条
  • [1] Portfolio revision under mean-variance and mean-CVaR with transaction costs
    Andrew H. Chen
    Frank J. Fabozzi
    Dashan Huang
    Review of Quantitative Finance and Accounting, 2012, 39 (4) : 509 - 526
  • [2] Models for Portfolio Revision with Transaction Costs in the Mean-Variance Framework
    Chen, Andrew H.
    Fabozzi, Frank J.
    Huang, Dashan
    HANDBOOK OF PORTFOLIO CONSTRUCTION: CONTEMPORARY APPLICATIONS OF MARKOWITZ TECHNIQUE, 2010, : 133 - +
  • [3] Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models
    Abudurexiti, Nuerxiati
    He, Kai
    Hu, Dongdong
    Rachev, Svetlozar T.
    Sayit, Hasanjan
    Sun, Ruoyu
    ANNALS OF OPERATIONS RESEARCH, 2024, 336 (1-2) : 945 - 966
  • [4] Mean-variance, mean-VaR, and mean-CVaR models for portfolio selection with background risk
    Guo, Xu
    Chan, Raymond H.
    Wong, Wing-Keung
    Zhu, Lixing
    RISK MANAGEMENT-AN INTERNATIONAL JOURNAL, 2019, 21 (02): : 73 - 98
  • [5] Mean-CVaR portfolio optimization problem under concave transaction costs and minimal transaction unit constraints
    Gao, Yuelin
    Sun, Ying
    Li, Yuhong
    ICIC 2009: SECOND INTERNATIONAL CONFERENCE ON INFORMATION AND COMPUTING SCIENCE, VOL 1, PROCEEDINGS, 2009, : 79 - 82
  • [6] Mean-variance hedging under transaction costs
    Beutner, Eric
    MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 2007, 65 (03) : 539 - 557
  • [7] Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs
    Takano Y.
    Nanjo K.
    Sukegawa N.
    Mizuno S.
    Computational Management Science, 2015, 12 (2) : 319 - 340
  • [8] Mean-variance portfolio selection with estimation risk and transaction costs
    Mei, Xiaoling
    Zhu, Huanjun
    Chen, Chongzhu
    APPLIED ECONOMICS, 2023, 55 (13) : 1436 - 1453
  • [9] Adaptive online mean-variance portfolio selection with transaction costs
    Guo, Sini
    Gu, Jia-Wen
    Ching, Wai-Ki
    Lyu, Benmeng
    QUANTITATIVE FINANCE, 2023, 24 (01) : 59 - 82
  • [10] The mean-variance approach to portfolio optimization subject to transaction costs
    Yoshimoto, A
    JOURNAL OF THE OPERATIONS RESEARCH SOCIETY OF JAPAN, 1996, 39 (01) : 99 - 117
12345