Portfolio problems with two levels decision-makers: Optimal portfolio selection with pricing decisions on transaction costs

Marina Leal; Diego Ponce; Justo Puerto

doi:10.1016/j.ejor.2019.12.039

Portfolio problems with two levels decision-makers: Optimal portfolio selection with pricing decisions on transaction costs

European Journal of Operational Research ◽

10.1016/j.ejor.2019.12.039 ◽

2020 ◽

Vol 284 (2) ◽

pp. 712-727 ◽

Cited By ~ 1

Author(s):

Marina Leal ◽

Diego Ponce ◽

Justo Puerto

Keyword(s):

Transaction Costs ◽

Portfolio Selection ◽

Optimal Portfolio ◽

Decision Makers ◽

Pricing Decisions ◽

Optimal Portfolio Selection

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Log-Optimal Portfolio-Selection Strategies with Proportional Transaction Costs

Advances in Computer Science and Engineering: Texts - Machine Learning for Financial Engineering ◽

10.1142/9781848168145_0003 ◽

2012 ◽

pp. 119-152 ◽

Cited By ~ 1

Author(s):

László Györfi ◽

Harro Walk

Keyword(s):

Transaction Costs ◽

Portfolio Selection ◽

Optimal Portfolio ◽

Proportional Transaction Costs ◽

Selection Strategies ◽

Optimal Portfolio Selection

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Optimal Portfolio Selection of Assets with Transaction Costs and No Short Sales

Lecture Notes in Economics and Mathematical Systems - Portfolio Selection and Asset Pricing ◽

10.1007/978-3-642-55934-1_4 ◽

2002 ◽

pp. 55-72 ◽

Cited By ~ 1

Author(s):

Shouyang Wang ◽

Yusen Xia

Keyword(s):

Transaction Costs ◽

Portfolio Selection ◽

Optimal Portfolio ◽

Short Sales ◽

Optimal Portfolio Selection ◽

Selection Of

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Optimal Portfolio Selection with Transaction Costs

North American Actuarial Journal ◽

10.1080/10920277.1997.10595602 ◽

1997 ◽

Vol 1 (2) ◽

pp. 27-39 ◽

Cited By ~ 18

Author(s):

Phelim P. Boyle ◽

Xiaodong Lin

Keyword(s):

Transaction Costs ◽

Portfolio Selection ◽

Optimal Portfolio ◽

Optimal Portfolio Selection

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Growth Optimal Portfolio Selection Under Proportional Transaction Costs with Obligatory Diversification

Applied Mathematics & Optimization ◽

10.1007/s00245-010-9113-x ◽

2010 ◽

Vol 63 (1) ◽

pp. 107-132 ◽

Cited By ~ 2

Author(s):

T. Duncan ◽

B. Pasik Duncan ◽

L. Stettner

Keyword(s):

Transaction Costs ◽

Portfolio Selection ◽

Optimal Portfolio ◽

Proportional Transaction Costs ◽

Growth Optimal Portfolio ◽

Optimal Portfolio Selection

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Optimal portfolio selection with transaction costs in compound binomial model

International Journal of Applied Decision Sciences ◽

10.1504/ijads.2022.120300 ◽

2022 ◽

Vol 15 (1) ◽

pp. 1

Author(s):

Fang Jin ◽

Hui Ou

Keyword(s):

Transaction Costs ◽

Portfolio Selection ◽

Optimal Portfolio ◽

Binomial Model ◽

Optimal Portfolio Selection ◽

Compound Binomial ◽

Compound Binomial Model

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Optimal Portfolio Selection with Transaction Costs and Finite Horizons

Review of Financial Studies ◽

10.1093/rfs/15.3.805 ◽

2002 ◽

Vol 15 (3) ◽

pp. 805-835 ◽

Cited By ~ 171

Author(s):

Hong Liu ◽

Mark Loewenstein

Keyword(s):

Transaction Costs ◽

Portfolio Selection ◽

Optimal Portfolio ◽

Finite Horizons ◽

Optimal Portfolio Selection

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Optimal portfolio selection for the small investor considering risk and transaction costs

OR Spectrum ◽

10.1007/s00291-008-0152-5 ◽

2008 ◽

Vol 32 (1) ◽

pp. 61-76 ◽

Cited By ~ 21

Author(s):

Rainer Baule

Keyword(s):

Transaction Costs ◽

Portfolio Selection ◽

Optimal Portfolio ◽

Optimal Portfolio Selection ◽

Selection For

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Optimal Portfolio Selection with Transaction Costs

Control of Distributed Parameter and Stochastic Systems - IFIP Advances in Information and Communication Technology ◽

10.1007/978-0-387-35359-3_23 ◽

1999 ◽

pp. 189-197 ◽

Cited By ~ 1

Author(s):

Phillip Collings ◽

Ulrich G. Haussmann

Keyword(s):

Transaction Costs ◽

Portfolio Selection ◽

Optimal Portfolio ◽

Optimal Portfolio Selection

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Optimal Portfolio Selection With Transaction Costs In Compound Binomial Model

International Journal of Applied Decision Sciences ◽

10.1504/ijads.2022.10042847 ◽

2022 ◽

Vol 15 (1) ◽

pp. 1

Author(s):

Hui Ou ◽

Fang Jin

Keyword(s):

Transaction Costs ◽

Portfolio Selection ◽

Optimal Portfolio ◽

Binomial Model ◽

Optimal Portfolio Selection ◽

Compound Binomial ◽

Compound Binomial Model

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An algorithm for optimal portfolio selection problem with transaction costs and random lifetimes

Applied Mathematics and Computation ◽

10.1016/j.amc.2007.02.100 ◽

2007 ◽

Vol 191 (1) ◽

pp. 239-252 ◽

Cited By ~ 18

Author(s):

U Jin Choi ◽

Bong-Gyu Jang ◽

Hyeng-Keun Koo

Keyword(s):

Transaction Costs ◽

Portfolio Selection ◽

Optimal Portfolio ◽

Selection Problem ◽

Portfolio Selection Problem ◽

Optimal Portfolio Selection

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