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

Authors: Zhang Peng

Addresses: 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

International Journal of Intercultural Information Management, 2011 Vol.2 No.4, pp.343 - 352

Available online: 02 Aug 2011

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