Abstract

A mean-variance model is proposed for portfolio rebalancing optimization problems with transaction costs and minimum transaction lots. The portfolio optimization problems are modeled as a non-smooth nonlinear integer programming problem. A genetic algorithm based on real value genetic operators is designed to solve the proposed model. It is illustrated via a numerical example that the genetic algorithm can solve the portfolio rebalancing optimization problems efficiently.KeywordsGenetic AlgorithmTransaction CostPortfolio OptimizationGenetic OperatorPortfolio Selection ProblemThese keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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