A Heuristic Approach to a Portfolio Optimization Model with Nonlinear Transaction Costs

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dc.contributor.advisor Tao Pang, Committee Co-Chair en_US
dc.contributor.advisor James R. Wilson, Committee Member en_US
dc.contributor.advisor Denis Pelletier, Committee Member en_US
dc.contributor.advisor Richard H. Bernhard, Committee Chair en_US
dc.contributor.author Na, Sungsoo en_US
dc.date.accessioned 2010-04-02T19:01:12Z
dc.date.available 2010-04-02T19:01:12Z
dc.date.issued 2009-05-21 en_US
dc.identifier.other etd-04242008-122235 en_US
dc.identifier.uri http://www.lib.ncsu.edu/resolver/1840.16/4795
dc.description.abstract In this thesis we extend the Markowitz Mean-Variance model to a rebalancing portfolio optimization problem incorporating realistic considerations such as transaction costs and a risk-free asset with short-selling allowed, and we apply the Tabu Search (TS) heuristic to solve practical portfolio problems. First of all, we propose a biobjective portfolio optimization model which we expect to yield a portfolio equilibrium by combining the two objectives: maximize the portfolio’s expected return and minimize its risk. For realistic portfolio problems we consider the multi-objective portfolio optimization models incorporating the risk-free asset and its short-selling and nonlinear transaction costs based on a single-period and a rebalancing portfolio optimization problem. Especially, to solve the rebalancing portfolio problem, we develop an adaptive, advanced TS algorithm having an evolutionary neighborhood structure, and we solve the problem with an iterative folding back procedure in the decision tree structure. Computational studies are performed with a risk-free asset and the number of risky assets to be 5, 10, 12, and 15 for both the single-period and rebalancing portfolio problems. en_US
dc.rights I hereby certify that, if appropriate, I have obtained and attached hereto a written permission statement from the owner(s) of each third party copyrighted matter to be included in my thesis, dis sertation, or project report, allowing distribution as specified below. I certify that the version I submitted is the same as that approved by my advisory committee. I hereby grant to NC State University or its agents the non-exclusive license to archive and make accessible, under the conditions specified below, my thesis, dissertation, or project report in whole or in part in all forms of media, now or hereafter known. I retain all other ownership rights to the copyright of the thesis, dissertation or project report. I also retain the right to use in future works (such as articles or books) all or part of this thesis, dissertation, or project report. en_US
dc.subject heuristic optimization en_US
dc.subject portfolio optimization model en_US
dc.subject transaction costs en_US
dc.title A Heuristic Approach to a Portfolio Optimization Model with Nonlinear Transaction Costs en_US
dc.degree.name PhD en_US
dc.degree.level dissertation en_US
dc.degree.discipline Industrial Engineering en_US

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