𝔖 Bobbio Scriptorium
✦   LIBER   ✦

A portfolio selection model with borrowing constraint based on possibility theory

✍ Scribed by Xue Deng; Rongjun Li

Book ID
113470845
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
298 KB
Volume
12
Category
Article
ISSN
1568-4946

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

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