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Applications of the Integrated Approach to International Portfolio Optimization

โœ Scribed by Hiroshi Konno; Jing Li


Book ID
110284989
Publisher
Springer
Year
2000
Tongue
English
Weight
182 KB
Volume
7
Category
Article
ISSN
1573-6946

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In this paper, we present a realistic portfolio optimization problem which takes into account real characteristics of the portfolio which are disregarded in most optimization models. These are di!erent transaction costs, minimum transaction units and investor's current portfolio holding. In order to