{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/optimizing-transition-strategies-for-small-to","title":"Optimizing Transition Strategies for Small to Medium Sized Portfolios","arxiv_id":"2401.13126","date":"2024-01-23","proceeding":null,"authors":["Nakul Upadhya","Alexandre Granzer-Guay"],"abstract":"This work discusses the benefits of constrained portfolio turnover strategies for small to medium-sized portfolios. We propose a dynamic multi-period model that aims to minimize transaction costs and maximize terminal wealth levels whilst adhering to strict portfolio turnover constraints. Our results demonstrate that using our framework in combination with a reasonable forecast, can lead to higher portfolio values and lower transaction costs on average when compared to a naive, single-period model. Such results were maintained given different problem cases, such as, trading horizon, assets under management, wealth levels, etc. In addition, the proposed model lends itself to a reformulation that makes use of the column generation algorithm which can be strategically leveraged to reduce complexity and solving times.","url_abs":"https://arxiv.org/abs/2401.13126v2","url_pdf":"https://arxiv.org/pdf/2401.13126v2.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"optimizing-transition-strategies-for-small-to","repo_url":"https://github.com/upadhyan/portfolio-changeover-optimization","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":0,"framework":"pytorch","reach":null}],"tasks":[{"task_slug":"management","task_name":"Management"}],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}