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| Volume 2, Number 2, May 2006, pp. 367-384 | ||||||||
| Rei Yamamoto and Hiroshi Konno | ||||||||
| Key words: | ||||||||
| mean-variance model, nonconvex transaction cost, linearization, 0-1 mixed integer programming problem | ||||||||
| Mathematices Subject Classification: 90C11, 90C26, 90C90 | ||||||||
|
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| Volume 2, Number 2, May 2006, pp. 367-384 | ||||||||
| Rei Yamamoto and Hiroshi Konno | ||||||||
| Key words: | ||||||||
| mean-variance model, nonconvex transaction cost, linearization, 0-1 mixed integer programming problem | ||||||||
| Mathematices Subject Classification: 90C11, 90C26, 90C90 | ||||||||
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| Abstract: | |||
| This paper is concerned with an efficient algorithm for solving a mean-variance model under nonconvex transaction costs. We will show that this difficult problem can now be solved by using classical linearization technique of a separable nonlinear function. The resulting problem is a mixed zero-one integer programming problem with several thousand 0-1 integer variables, so that it is still beyond the reach of powerful integer programming softwares. However, by using a variety of heuristics, we can now solve a medium scale problem within a practical amount of time. | |||
| An efficient algorithm for solving a mean-variance model under nonconvex transaction costs | ||
| Special Issue of ICOTA6 | ||