Warm-Start Heuristic for Stochastic Portfolio Optimization with Fixed and Proportional Transaction Costs

被引：0
作者：
Tiago P. Filomena
Miguel A. Lejeune
机构：
[1] Federal University of Rio Grande do Sul,Management School
[2] The George Washington University,Department of Decision Sciences
来源：
Journal of Optimization Theory and Applications | 2014年 / 161卷
关键词：
Large-scale optimization; Stochastic programming; Portfolio optimization; Transaction costs; Fat-tailed returns;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We consider a probabilistic portfolio optimization model including fixed and proportional transaction costs. We derive a deterministic equivalent of the probabilistic model for fat-tailed portfolio returns. We develop a method which finds provably near-optimal solutions in minimal amount of time for industry-sized (up to 2000 assets) problems. To solve the mixed-integer nonlinear programming (MINLP) deterministic formulation equivalent to the stochastic problem, we design a mathematical programming-based warm-start heuristic. The tests show the computational efficiency of the heuristic which is more than an order of magnitude faster than Cplex in finding high-quality solutions.
引用
收藏
页码：308 / 329
页数：21
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