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Portfolio allocation and asset demand with mean-variance preferences

โœ Scribed by Thomas Eichner; Andreas Wagener


Publisher
Springer US
Year
2010
Tongue
English
Weight
207 KB
Volume
70
Category
Article
ISSN
0040-5833

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A new optimal portfolio selection strate
โœ Hui Peng; Genshiro Kitagawa; Min Gan; Xiaohong Chen ๐Ÿ“‚ Article ๐Ÿ“… 2010 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 170 KB

## Abstract A new optimal portfolio selection method within the Markowitz meanโ€“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