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International Conference on Modelling, Computation and Optimization in Information Systems and Management Sciences

MCO 2008: Modelling, Computation and Optimization in Information Systems and Management Sciences pp 190–196Cite as

Portfolio Selection under Piecewise Affine Transaction Costs: An Integer Quadratic Formulation

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Part of the book series: Communications in Computer and Information Science ((CCIS,volume 14))

Abstract

In this paper we consider the problem of selecting assets for which transaction costs are given by piecewise affine functions. Given practical constraints related to budget and buy-in thresholds, our purpose is to determine the number of each asset i that can produce the maximum return of a portfolio composed of (n + 1) assets (one of them is free of risk). The problem is formulated as an integer quadratic problem and afterwards linearized. Some numerical experiments, using Ilog Cplex 10.1, has been performed. They show that the methodology is promising.

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Author information

Authors and Affiliations

  1. Laboratoire de Mathématiques Appliquées du Havre., 25, rue Philippe Lebon, 76600, Le Havre, France

    Mohamed Lemrabott, Serigne Gueye & Adnan Yassine

  2. ECE, Ecole Centrale d’électronique., 53, rue de Grenelle, 75007, Paris, France

    Yves Rakotondratsimba

Authors
  1. Mohamed Lemrabott
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  2. Serigne Gueye
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  3. Adnan Yassine
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  4. Yves Rakotondratsimba
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Editor information

Editors and Affiliations

  1. Laboratory of Theoretical and Applied Computer Science, UFR MIM,, Paul Verlaine University of Metz, Metz, France

    Hoai An Le Thi

  2. Faculty of Sciences, Technology and Communications, University of Luxembourg, Luxembourg

    Pascal Bouvry

  3. Laboratory of Mathematics, National Institute for Applied Sciences, Rouen Mont, Saint Aignan, France

    Tao Pham Dinh

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© 2008 Springer-Verlag Berlin Heidelberg

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Lemrabott, M., Gueye, S., Yassine, A., Rakotondratsimba, Y. (2008). Portfolio Selection under Piecewise Affine Transaction Costs: An Integer Quadratic Formulation. In: Le Thi, H.A., Bouvry, P., Pham Dinh, T. (eds) Modelling, Computation and Optimization in Information Systems and Management Sciences. MCO 2008. Communications in Computer and Information Science, vol 14. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-87477-5_21

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  • DOI: https://doi.org/10.1007/978-3-540-87477-5_21

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-87476-8

  • Online ISBN: 978-3-540-87477-5

  • eBook Packages: Computer ScienceComputer Science (R0)

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