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.
Int. J. of Intercultural Information Management, 2011 Vol.2, No.4, pp.343 - 352
Available online: 02 Aug 2011