Using Semidefinite Programming to Rebalance a Portfolio in the Presence of
Transaction Costs
Download the talk,
in pdf format.
Authors:
Steve Braun and
John E. Mitchell
Department of Mathematical Sciences
Rensselaer Polytechnic Institute
Troy, NY 12180 USA
brauns2@alum.rpi.edu and
mitchj@rpi.edu
May 20, 2002.
Given at the
7th SIAM Conference
on Optimization, Toronto, May 20-23, 2002.
Abstract:
In portfolio optimization, an acceptable balance between risk
and reward is desired.
Risk is represented by a quadratic objective function
and reward by a linear constraint.
Transaction costs can be modelled by imposing complementarity
requirements on some variable pairs.
We describe a
semidefinite programming relaxation for the problem
of rebalancing a portfolio with transaction costs
and use this to develop a heuristic to find good
portfolios. Computational results on real-world
data sets are given.
Download the talk,
in pdf format.
Return to my list of talks.