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Performance analysis of log-optimal portfolio strategies with transaction costs

✍ Scribed by Ormos, Mihály; Urbán, András

Book ID
115462546
Publisher
Taylor and Francis Group
Year
2013
Tongue
English
Weight
173 KB
Volume
13
Category
Article
ISSN
1469-7688

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A new optimal portfolio selection strate
A new optimal portfolio selection strategy based on a quadratic form mean–variance model with transaction costs
✍ 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