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Portfolio optimization with transaction costs: a two-period mean-variance model

✍ Scribed by Fu, Ying Hui; Ng, Kien Ming; Huang, Boray; Huang, Huei Chuen

Book ID
125355359
Publisher
Springer US
Year
2014
Tongue
English
Weight
962 KB
Volume
233
Category
Article
ISSN
0254-5330

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## 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