Growth Optimal Portfolio Selection Under Proportional Transaction Costs with Obligatory Diversification
β Scribed by T. Duncan; B. Pasik Duncan; L. Stettner
- Publisher
- Springer
- Year
- 2010
- Tongue
- English
- Weight
- 551 KB
- Volume
- 63
- Category
- Article
- ISSN
- 0095-4616
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## Abstract A new optimal portfolio selection method within the Markowitz meanβvariance 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
relations over uncertain prospects that (a) are dynamically consistent in the Machina sense and, moreover, for which the updated preferences are also members of this family and (b) can simultaneously accommodate Ellsberg-and Allais-type paradoxes. Replacing the "mixture independence" axiom by "mixtu