Mean-CVaR Portfolio Optimization Problem under Concave Transaction Costs and Minimal Transaction Unit Constraints

Abstract

In the paper, considering the fact situation that the transaction number is an integer and associated with portfolio construction is a fee for purchasing assets in the stock market in China at present, we increase minimal transaction unit constraint. And with the concave transaction cost function more conforming to the actual situation, introducing the condition risk value (CVaR) to measure the portfolio risk, we propose a mean-CVaR concave integer programming model under concave transaction costs and minimal transaction unit constraints. In the same time, we give a genetic algorithm to solve this model, and the numerical experiment shows that the model is reasonable and the algorithm is efficient.