Friday, 10:30 - 10:55 h, Room: H 3021

 

Constanta Radulescu
Portfolio selection models with complementarity constraints

Coauthors: Marius Radulescu, Sorin Radulescu

 

Abstract:
We extend Markowitz’s portfolio selection model to include transaction costs in the presence of initial holdings for the investor. Our approach is new. Our aim is to obtain an optimal portfolio which has a minimum risk or a maximum return. Our portfolio selection models include complementarity constraints. This type of constraints increases the difficulty of the problems, which now enter in the category of combinatorial optimization problems. The set of feasible solutions for the problems from the above mentioned class is the union of a set of convex sets but it is no longer convex. We give an algorithm for finding solutions of portfolio selection models with complementarity constraints. Several numerical results are discussed.

 

Talk 1 of the contributed session Fri.1.H 3021
"Portfolio selection problems" [...]
Cluster 7
"Finance & economics" [...]

 

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