-
Previous Article
A class of stochastic mathematical programs with complementarity constraints: reformulations and algorithms
- JIMO Home
- This Issue
-
Next Article
Variational inequalities and a transport planning for an elastic and continuum model
Index-plus-alpha tracking under concave transaction cost
1. | Department of Industrial and Systems Engineering, Chuo University, Japan, Japan |
  The method to be proposed in this paper is to calculate a portfolio which keeps track of an index-plus-alpha portfolio with minimal transaction cost. The problem is formulated as a concave minimization under linear constraints, which can be solved in an efficient manner by a branch and bound algorithm. We will demonstrate that this method can usually outperform the given index when alpha is chosen in an appropriate manner.
[1] |
Shaolin Ji, Xiaomin Shi. Recursive utility optimization with concave coefficients. Mathematical Control and Related Fields, 2018, 8 (3&4) : 753-775. doi: 10.3934/mcrf.2018033 |
[2] |
Chao Zhang, Jingjing Wang, Naihua Xiu. Robust and sparse portfolio model for index tracking. Journal of Industrial and Management Optimization, 2019, 15 (3) : 1001-1015. doi: 10.3934/jimo.2018082 |
[3] |
Z.G. Feng, K.L. Teo, Y. Zhao. Branch and bound method for sensor scheduling in discrete time. Journal of Industrial and Management Optimization, 2005, 1 (4) : 499-512. doi: 10.3934/jimo.2005.1.499 |
[4] |
Nguyen Van Thoai. Decomposition branch and bound algorithm for optimization problems over efficient sets. Journal of Industrial and Management Optimization, 2008, 4 (4) : 647-660. doi: 10.3934/jimo.2008.4.647 |
[5] |
Zhongbao Zhou, Ximei Zeng, Helu Xiao, Tiantian Ren, Wenbin Liu. Multiperiod portfolio optimization for asset-liability management with quadratic transaction costs. Journal of Industrial and Management Optimization, 2019, 15 (3) : 1493-1515. doi: 10.3934/jimo.2018106 |
[6] |
Jing Zhou, Zhibin Deng. A low-dimensional SDP relaxation based spatial branch and bound method for nonconvex quadratic programs. Journal of Industrial and Management Optimization, 2020, 16 (5) : 2087-2102. doi: 10.3934/jimo.2019044 |
[7] |
Jing Zhou, Cheng Lu, Ye Tian, Xiaoying Tang. A SOCP relaxation based branch-and-bound method for generalized trust-region subproblem. Journal of Industrial and Management Optimization, 2021, 17 (1) : 151-168. doi: 10.3934/jimo.2019104 |
[8] |
Shouchuan Hu, Nikolaos S. Papageorgiou. Nonlinear Neumann problems with indefinite potential and concave terms. Communications on Pure and Applied Analysis, 2015, 14 (6) : 2561-2616. doi: 10.3934/cpaa.2015.14.2561 |
[9] |
Vitali Milman, Liran Rotem. $\alpha$-concave functions and a functional extension of mixed volumes. Electronic Research Announcements, 2013, 20: 1-11. doi: 10.3934/era.2013.20.1 |
[10] |
Lasse Kliemann, Elmira Shirazi Sheykhdarabadi, Anand Srivastav. Price of anarchy for graph coloring games with concave payoff. Journal of Dynamics and Games, 2017, 4 (1) : 41-58. doi: 10.3934/jdg.2017003 |
[11] |
Paul Pegon, Filippo Santambrogio, Davide Piazzoli. Full characterization of optimal transport plans for concave costs. Discrete and Continuous Dynamical Systems, 2015, 35 (12) : 6113-6132. doi: 10.3934/dcds.2015.35.6113 |
[12] |
Peter Hinow, Ami Radunskaya. Ergodicity and loss of capacity for a random family of concave maps. Discrete and Continuous Dynamical Systems - B, 2016, 21 (7) : 2193-2210. doi: 10.3934/dcdsb.2016043 |
[13] |
Wen-ling Zhao, Dao-jin Song. A global error bound via the SQP method for constrained optimization problem. Journal of Industrial and Management Optimization, 2007, 3 (4) : 775-781. doi: 10.3934/jimo.2007.3.775 |
[14] |
Yingjie Li, Xiaoguang Yang, Shushang Zhu, Dong-Hui Li. A hybrid approach for index tracking with practical constraints. Journal of Industrial and Management Optimization, 2014, 10 (3) : 905-927. doi: 10.3934/jimo.2014.10.905 |
[15] |
J. García-Melián, Julio D. Rossi, José Sabina de Lis. A convex-concave elliptic problem with a parameter on the boundary condition. Discrete and Continuous Dynamical Systems, 2012, 32 (4) : 1095-1124. doi: 10.3934/dcds.2012.32.1095 |
[16] |
Sophia Th. Kyritsi, Nikolaos S. Papageorgiou. Positive solutions for p-Laplacian equations with concave terms. Conference Publications, 2011, 2011 (Special) : 922-930. doi: 10.3934/proc.2011.2011.922 |
[17] |
Artyom Nahapetyan, Panos M. Pardalos. A bilinear relaxation based algorithm for concave piecewise linear network flow problems. Journal of Industrial and Management Optimization, 2007, 3 (1) : 71-85. doi: 10.3934/jimo.2007.3.71 |
[18] |
V. V. Motreanu. Multiplicity of solutions for variable exponent Dirichlet problem with concave term. Discrete and Continuous Dynamical Systems - S, 2012, 5 (4) : 845-855. doi: 10.3934/dcdss.2012.5.845 |
[19] |
Boumediene Abdellaoui, Abdelrazek Dieb, Enrico Valdinoci. A nonlocal concave-convex problem with nonlocal mixed boundary data. Communications on Pure and Applied Analysis, 2018, 17 (3) : 1103-1120. doi: 10.3934/cpaa.2018053 |
[20] |
Junping Shi, Ratnasingham Shivaji. Exact multiplicity of solutions for classes of semipositone problems with concave-convex nonlinearity. Discrete and Continuous Dynamical Systems, 2001, 7 (3) : 559-571. doi: 10.3934/dcds.2001.7.559 |
2021 Impact Factor: 1.411
Tools
Metrics
Other articles
by authors
[Back to Top]