Log-robust portfolio management after transaction costs

Authors:
Yuntaek Pae;Navid Sabbaghi
Affiliations:
Lewis University, One University Parkway, Romeoville, USA 60446;Illinois Institute of Technology, Chicago, USA 60661
Venue:
OR Spectrum
Year:
2014

Citing 3
Cited 0

Investment strategies under transaction costs: the finite horizon case

Management Science
Robust multiperiod portfolio management in the presence of transaction costs

Computers and Operations Research
A log-robust optimization approach to portfolio management

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Abstract

We suggest an approximation method for solving a Log-robust portfolio optimization problem that includes transaction costs. We transform the problem into a linear programming problem so that it is easy to implement in an actual investment. We also provide numerical tests comparing the approximation method's solution to the solution for a traditional Log-robust problem.