In this paper, we aim at presenting a mathematical model, based on networks, which allows us to formulate a new multi-period portfolio selection problem as a Markowitz mean-variance optimization problem with intermediaries and the addition of transaction costs and taxes (on the capital gain). Moreover, utilizing the proposed Integer Nonlinear Programming (INLP) Problem, it is possible to establish when it is suitable to buy and to sell financial securities, not only while maximizing the profits but also while minimizing the risk which is weighted by an aversion degree or risk inclination value. We find the related optimality conditions, which provide us with a variational inequality formulation. Some existence and uniqueness results, as well as the Lagrange formulation, are stated, and some numerical examples are studied.

A Financial Model for a Multi-Period Portfolio Optimization Problem with a variational formulation

G. Colajanni;P. Daniele
2019-01-01

Abstract

In this paper, we aim at presenting a mathematical model, based on networks, which allows us to formulate a new multi-period portfolio selection problem as a Markowitz mean-variance optimization problem with intermediaries and the addition of transaction costs and taxes (on the capital gain). Moreover, utilizing the proposed Integer Nonlinear Programming (INLP) Problem, it is possible to establish when it is suitable to buy and to sell financial securities, not only while maximizing the profits but also while minimizing the risk which is weighted by an aversion degree or risk inclination value. We find the related optimality conditions, which provide us with a variational inequality formulation. Some existence and uniqueness results, as well as the Lagrange formulation, are stated, and some numerical examples are studied.
File in questo prodotto:
File Dimensione Formato  
Capitolo Khan.pdf

solo gestori archivio

Tipologia: Versione Editoriale (PDF)
Licenza: NON PUBBLICO - Accesso privato/ristretto
Dimensione 287.34 kB
Formato Adobe PDF
287.34 kB Adobe PDF   Visualizza/Apri

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/20.500.11769/366269
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact