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HomeApplied Mechanics and MaterialsApplied Mechanics and Materials Vols. 543-547Constraint Tracking Error for Investment Portfolio...

Constraint Tracking Error for Investment Portfolio Optimization Model and Algorithm of VaR in Additional Transaction Costs

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Abstract:

Based on the uncertainty of covariant matrix and value of expected return in risk assets, constraint tracking error for investment portfolio optimization model of VaR in additional transaction costs is constructed in this paper. The validity is proved by using the method of linear matrix inequality. According to empirical analysis, the results of different investment models are analyzed and compared with the one gotten by the method in this paper. It is concluded that the distribution of weights of the model in this paper is more reasonable and its final return is better than other models. Moreover, it may be closer to the modern financial markets for its transaction cost.

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Periodical:

Applied Mechanics and Materials (Volumes 543-547)

Pages:

1811-1816

DOI:

https://doi.org/10.4028/www.scientific.net/AMM.543-547.1811

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Online since:

March 2014

Authors:

Dong Zheng*, Xi Kun Liang

Keywords:

Portfolio Optimization, Risky Assets, Robust, Tracking Error, Transaction Cost

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© 2014 Trans Tech Publications Ltd. All Rights Reserved

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* - Corresponding Author

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