Optimization costs of switching portfolio as transportation problem

All costs generated by broker’s commission are included in portfolio optimization. The value of indicated broker’s commission is given as a constant point of some simple iteration process. The switching process is described as a closed transportation problem. It is proved that for a fixed ordered pair of portfolios the total costs of switching the first portfolio to the second one are constant. The strategy of optimizing indicated broker’s commission is proposed. The minimal switching costs are attained by means of some kind of open transportation problem. The obtained method of cost management may be applied together with any procedure of portfolio selection. There are sketched the possibilities of correcting return rate of optimal portfolio burdened with switching costs.