ARTÍCULO
TITULO

Non-Linear Transaction Costs Inclusion in Mean-Variance Optimization

José Euclides de Melo Ferraz    
Christian Johannes Zimmer    

Resumen

In this article we propose a new way to include transaction costs into a mean-variance portfolio optimization. We consider brokerage fees, bid/ask spread and the market impact of the trade. A pragmatic algorithm is proposed, which approximates the optimal portfolio, and we can show that is converges in the absence of restrictions. Using Brazilian financial market data we compare our approximation algorithm with the results of a non-linear optimizer.

PÁGINAS
pp. pp. 195 - 221
MATERIAS
ECONOMÍA
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