1998 Fiscal Year Final Research Report Summary
Algorithmic Studies on Portfolio Optimization and Asset Pricing and Transaction Cost
| Project/Area Number |
09558046
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| Research Category |
Grant-in-Aid for Scientific Research (B)
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| Allocation Type | Single-year Grants |
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| Section | 展開研究 |
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| Research Field |
社会システム工学
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| Research Institution | Tokyo Institute of Technology |
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Principal Investigator |
KONNO Hiroshi Tokyo Institute of Technology, 大学院・社会理工学研究科, Professor (10015969)
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| Co-Investigator(Kenkyū-buntansha) |
HARUKAWA Kouichi Tokyo Institute of Technology, 大学院・社会理工学研究科, Professor (20016455)
SHIRAKAWA Hiroshi Tokyo Institute of Technology, 大学院・社会理工学研究科, Associate Professor (10216187)
TAKAHASHI Akihiko Nihon Kougyou Bank, 調査役, Pesearcher
SUZUKI Kenichi Tokyo Institute of Technology, 大学院・社会理工学研究科, 助手 (30262306)
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| Project Period (FY) |
1997 – 1998
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| Keywords | transaction cost / portfolio management / mean-absolute deviation model / global optimization / branch and bound / d.c.optimization / 大規模最適化 / 確率制御問題 |
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| Research Abstract |
We showed that portfolio optimization problems under concave transaction cost can be solved by a newly developed branch and bound algorithm. This class of problems have long been considered to be intractable in the field of mathematical optimization. Our success depends upon the use of absolute deviation instead of variance as a measure of risk, which enables one to apply a number of efficient schemes developed in the field of linear programming. We believe that this method can serve as a basic tool for handling yet more difficult d.c. optimization problems associated with market impact cost.
We also showed that an exact treatment of concave transaction cost leads to a significantly different portfolio compared with those obtained by its linear approximation.
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Research Products
(9 results)
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[Book] Finance Hand book.1997
Author(s)
Hiroshi Konno, Koichi Furukawa (eds. )
Publisher
Asakura-Shoten Publishing, Co., (Japanese translation of Handbook in OR&MS, Vol. 8, "Finance", edited by Jarrow, R. et al., Springer Verlag, 1996. )
Description
「研究成果報告書概要(欧文)」より
