𝔖 Bobbio Scriptorium
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MEAN–VARIANCE PORTFOLIO CHOICE: QUADRATIC PARTIAL HEDGING

✍ Scribed by Jianming Xia


Book ID
111043022
Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
69 KB
Volume
15
Category
Article
ISSN
0960-1627

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A new optimal portfolio selection strate
✍ Hui Peng; Genshiro Kitagawa; Min Gan; Xiaohong Chen 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 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