## 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
On-line portfolio selection strategy with prediction in the presence of transaction costs
β Scribed by Sergio Albeverio; LanJun Lao; XueLei Zhao
- Publisher
- Springer
- Year
- 2001
- Tongue
- English
- Weight
- 320 KB
- Volume
- 54
- Category
- Article
- ISSN
- 0340-9422
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