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The portfolio strategy and hedging: A spectrum perspective on mean–variance theory

✍ Scribed by Pao-Peng Hsu; Szu-Lang Liao

Book ID
113664503
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
496 KB
Volume
22
Category
Article
ISSN
1059-0560

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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