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Optimal Portfolio Construction with Two-Sided Weight Constraints and Commission

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We consider the optimal portfolio construction problem with two-sided constraints for weights and with commission. The complete algorithmic solution of the problem is given for the Markowitz model (for portfolios without short positions). A heuristic algorithm for solving this problem for the Black’s model (for portfolios with short positions) is proposed.

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References

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Authors and Affiliations

  1. Financial University under the Government of the Russian Federation, Moscow, Russia

    M. S. Al-Nator & S. V. Al-Nator

Authors
  1. M. S. Al-Nator
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  2. S. V. Al-Nator
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Correspondence to M. S. Al-Nator.

Additional information

Proceedings of the XXXV International Seminar on Stability Problems for Stochastic Models, Perm, Russia, September 24–28, 2018. Part I.

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Al-Nator, M.S., Al-Nator, S.V. Optimal Portfolio Construction with Two-Sided Weight Constraints and Commission. J Math Sci 246, 453–459 (2020). https://doi.org/10.1007/s10958-020-04751-y

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  • DOI: https://doi.org/10.1007/s10958-020-04751-y

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