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The optimisation on the multi-period mean-average absolute deviation portfolio selection in friction market
by Zhang Peng
International Journal of Intercultural Information Management (IJIIM), Vol. 2, No. 4, 2011

 

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.

Online publication date: Tue, 02-Aug-2011

 

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