Uncertain portfolio selection model considering transaction costs and minimum transaction lots requirement

摘要

Due to the complexity of real security market, sometimes the future security returns can only be valued based on experts' estimations. Meanwhile, there are transaction costs and minimum transaction lots requirement in the real transaction process in the trading market. This paper discusses the portfolio selection problem in such a circumstance. Security returns are considered as uncertain variables, and a new mean-variance model with transaction costs and minimum transaction lots is established. In addition, the impact of minimum transaction lots requirement and transaction costs on optimal portfolio is discussed and a genetic algorithm for solving the optimization model is given. As an illustration, a numerical example is provided.