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A new urn model with predetermined strategy

✍ Scribed by Consul, P. C. ;Mittal, S. P.

Publisher
Wiley (John Wiley & Sons)
Year
1975
Weight
437 KB
Volume
17
Category
Article
ISSN
0006-3452

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A new optimal portfolio selection strate
A new optimal portfolio selection strategy based on a quadratic form mean–variance model with transaction costs
✍ Hui Peng; Genshiro Kitagawa; Min Gan; Xiaohong Chen πŸ“‚ Article πŸ“… 2010 πŸ› John Wiley and Sons 🌐 English βš– 170 KB

## Abstract A new optimal portfolio selection method within the Markowitz mean–variance framework is presented in this paper. The model proposed in the paper includes expected return, trading risk, and in particular, a quadratic form in the transaction costs of the portfolio. Using this model yield