By Topic

A portfolio model with quadratic subsection concave transaction costs based on PSO

Sign In

Cookies must be enabled to login.After enabling cookies , please use refresh or reload or ctrl+f5 on the browser for the login options.

Formats Non-Member Member
$31 $13
Learn how you can qualify for the best price for this item!
Become an IEEE Member or Subscribe to
IEEE Xplore for exclusive pricing!
close button

puzzle piece

IEEE membership options for an individual and IEEE Xplore subscriptions for an organization offer the most affordable access to essential journal articles, conference papers, standards, eBooks, and eLearning courses.

Learn more about:

IEEE membership

IEEE Xplore subscriptions

2 Author(s)
Fasheng Xu ; Sch. of Sci., Jinan Univ., Jinan, China ; Wei Chen

In this paper, the optimal portfolio selection problem with transaction costs is studied. In the previous study, the transaction cost is generally assumed as a V-shaped function of difference between the existing and the new portfolio. But, in this study, a portfolio selection model with quadratic subsection concave transaction costs is presented. Due to proposed model is a complex quadratic programming problem which can't be solved by exact algorithms efficiently, an improved particle swarm optimization (IPSO) is designed to solve it. Finally, a numerical example is given to illustrate our proposed effective approach and the performances of IPSO and standard genetic algorithm (SGA) are compared. Experiment results show that IPSO is clearly superior compared to a SGA.

Published in:

Control and Decision Conference, 2009. CCDC '09. Chinese

Date of Conference:

17-19 June 2009