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On mean-variance portfolio selection under a hidden Markovian regime-switching model

✍ Scribed by Robert J. Elliott; Tak Kuen Siu; Alex Badescu

Book ID
116424030
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
238 KB
Volume
27
Category
Article
ISSN
0264-9993

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A new optimal portfolio selection strate
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✍ Hui Peng; Genshiro Kitagawa; Min Gan; Xiaohong Chen πŸ“‚ Article πŸ“… 2010 πŸ› John Wiley and Sons 🌐 English βš– 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