Journal
COMPUTATIONAL ECONOMICS
Volume 36, Issue 3, Pages 191-200Publisher
SPRINGER
DOI: 10.1007/s10614-010-9220-4
Keywords
Portfolio selection; Transaction cost; LR-type possibility distribution; Mean-variance utility; Comprehensive learning particle swarm optimizer (CLPSO)
Funding
- National Natural Science Foundation of China [70825005, 70571024]
- NCET [06-0749]
- Humanities and Social Science Foundation of the Ministry of Education of China [07JA630048, 07JC630059]
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The structure of portfolio selection depends essentially on the form of transaction cost. In this paper, we deal with the portfolio selection problems with general transaction costs under the assumption that the returns of assets obey LR-type possibility distributions. For any type of transaction costs, we employ a comprehensive learning particle swarm optimizer algorithm to obtain the optimal portfolio. Furthermore, we offer numerical experiments of different forms of transaction costs to illustrate the effectiveness of the proposed model and approach.
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