论文标题
二次交易成本的投资组合优化注释
A Note on Portfolio Optimization with Quadratic Transaction Costs
论文作者
论文摘要
在此简短说明中，我们考虑了通过交易成本优化均值变化的投资组合。我们表明，引入二次交易成本使优化问题比使用线性交易成本更加困难。原因在于预算约束的规范，不再是线性的。我们提供用于解决此问题的数值算法，并说明交易成本如何显着影响优化投资组合的预期收益。
In this short note, we consider mean-variance optimized portfolios with transaction costs. We show that introducing quadratic transaction costs makes the optimization problem more difficult than using linear transaction costs. The reason lies in the specification of the budget constraint, which is no longer linear. We provide numerical algorithms for solving this issue and illustrate how transaction costs may considerably impact the expected returns of optimized portfolios.
