Abstract
We propose a probabilistic version of the Markowitz portfolio problem with proportional transaction costs. We derive equivalent convex reformulations, and analyze their computational efficiency for solving large (up to 2000 securities) portfolio problems. There is a great disparity in the solution times. The time differential between formulations can reach several orders of magnitude for the largest instances. The second-order cone formulation in which the number of quadratic terms is invariant to the number of assets is the most efficient.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
