Advancement of Optimal Portfolio Models with Short-Sales and Transaction Costs: Methodology and Effectiveness

2020 ◽  
pp. 3649-3674
Author(s):  
Wan-Jiun Paul Chiou ◽  
Jing-Rung Yu
Keyword(s):  
Transaction Costs ◽  
Optimal Portfolio ◽  
Short Sales

Optimal portfolio selection of assets with transaction costs and no short sales

2001 ◽  
Vol 32 (5) ◽  
pp. 599-607 ◽  
Author(s):  
Zhong-Fei Li ◽  
Zhong-Xiang Li ◽  
Shou-Yang Wang ◽  
Xiao-Tie Deng
Keyword(s):  
Transaction Costs ◽  
Portfolio Selection ◽  
Optimal Portfolio ◽  
Short Sales ◽  
Optimal Portfolio Selection ◽  
Selection Of

VaR optimal portfolio with transaction costs

2011 ◽  
Vol 218 (8) ◽  
pp. 4626-4637 ◽  
Author(s):  
Nataša Krejić ◽  
Miles Kumaresan ◽  
Andrea Rožnjik
Keyword(s):  
Transaction Costs ◽  
Optimal Portfolio
Sign in / Sign up

Export Citation Format

Share Document