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Portfolio Optimization Model with Transaction Costs

✍ Scribed by Shu-ping Chen; Chong Li; Sheng-hong Li; Xiong-wei Wu

Publisher
Institute of Applied Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society
Year
2002
Tongue
English
Weight
235 KB
Volume
18
Category
Article
ISSN
0168-9673

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πŸ“œ SIMILAR VOLUMES

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 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