Int. J. of Intercultural Information Management   »   2011 Vol.2, No.4



Title: The optimisation on the multi-period mean-average absolute deviation portfolio selection in friction market


Author: Zhang Peng


Address: School of Management, Wuhan University of Science and Technology, Wuhan, 430081, China


Abstract: This paper is devoted to solving the multi-period portfolio selection problem under transaction costs and trade volumes for which the objective is to maximise a utility function in expected return and average absolute deviation. An efficient method, named discrete approximate iteration algorithm, is proposed for solving the optimal portfolio policy. A further analysis shows that the rate of convergence of the iterates is linear.


Keywords: multi-period portfolio selection; mean average absolute deviation; discrete approximate iteration; transaction costs trade volumes; optimal portfolio policy.


DOI: 10.1504/IJIIM.2011.041752


Int. J. of Intercultural Information Management, 2011 Vol.2, No.4, pp.343 - 352


Available online: 02 Aug 2011



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