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One-stage R&D portfolio optimization with

✍ Scribed by Lauren Hannah; Warren Powell; Jeffrey Stewart


Publisher
Springer-Verlag
Year
2010
Tongue
English
Weight
812 KB
Volume
1
Category
Article
ISSN
1868-3967

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A new optimal portfolio selection strate
✍ 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