Adcock, C.J. and Meade, N. (1994) A simple algorithm to incorporate transactions costs in quadratic optimisation. European Journal of Operational Research, 79 (1). pp. 85-94. ISSN 0377-2217
Full text not available from this repository.Abstract
Quantitative fund management invariably involves portfolio performance being measured in terms of a quadratic objective function (due to the inclusion of variance terms as a measure of risk). Periodically, the constituents of the fund are adjusted to improve performance. This adjustment incurs a transaction cost which is a modulus function of the changes in holdings. Thus the fund manager wishes to minimise a combined quadratic and modulus function. This paper presents a new approach to deal with the minimisation of this hybrid function, using a well tried quadratic programming algorithm. The new algorithm is demonstrated using a tactical asset allocation problem and an equity index tracking fund.
| Item Type: | Article |
|---|---|
| Keywords: | Finance; Quadratic programming; Portfolio selection; MAD estimation |
| Academic Units: | The University of Sheffield > Faculty of Social Sciences (Sheffield) > Sheffield University Management School |
| Depositing User: | Miss Anthea Tucker |
| Date Deposited: | 21 Jun 2010 15:09 |
| Last Modified: | 21 Jun 2010 15:09 |
| Published Version: | http://dx.doi.org/10.1016/0377-2217(94)90397-2 |
| Status: | Published |
| Publisher: | Elsevier |
| Identification Number: | 10.1016/0377-2217(94)90397-2 |
| URI: | http://eprints.whiterose.ac.uk/id/eprint/10944 |
Actions (login required)
 |
View Item |
