✦ LIBER ✦

Mean-variance-skewness model for portfolio selection with transaction costs

✍ Scribed by Liu, S.; Wang, S. Y.; Qiu, W.

Book ID: 120405828
Publisher: Taylor and Francis Group
Year: 2003
Tongue: English
Weight: 160 KB
Volume: 34
Category: Article
ISSN: 0020-7721
DOI: 10.1080/0020772031000158492

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## 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