A Mean-Variance Model for Optimal Portfolio Selection with Transaction Costs

IFAC Proceedings Volumes ◽

10.3182/20080706-5-kr-1001.00277 ◽

2008 ◽

Vol 41 (2) ◽

pp. 1627-1632

Author(s):

Hui Peng ◽

Min Gan ◽

Xiaohong Chen

Keyword(s):

Transaction Costs ◽

Portfolio Selection ◽

Optimal Portfolio ◽

Variance Model ◽

Optimal Portfolio Selection ◽

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A new optimal portfolio selection strategy based on a quadratic form mean-variance model with transaction costs

Optimal Control Applications and Methods ◽

10.1002/oca.936 ◽

2010 ◽

Vol 32 (2) ◽

pp. 127-138 ◽

Author(s):

Hui Peng ◽

Genshiro Kitagawa ◽

Min Gan ◽

Xiaohong Chen

Keyword(s):

Quadratic Form ◽

Transaction Costs ◽

Portfolio Selection ◽

Optimal Portfolio ◽

Selection Strategy ◽

Variance Model ◽

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 ◽

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 ◽

Author(s):

Shouyang Wang ◽

Yusen Xia

Keyword(s):

Transaction Costs ◽

Portfolio Selection ◽

Optimal Portfolio ◽

Short Sales ◽

Optimal Portfolio Selection ◽

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Time Optimal Portfolio Selection: Mean-variance-efficient Sets for Arithmetic and Geometric Brownian Price Processes

Studies in Classification, Data Analysis, and Knowledge Organization - Classification and Information Processing at the Turn of the Millennium ◽

10.1007/978-3-642-57280-7_33 ◽

2000 ◽

pp. 304-311

Author(s):

T. Burkhardt

Keyword(s):

Portfolio Selection ◽

Optimal Portfolio ◽

Efficient Sets ◽

Time Optimal ◽

Optimal Portfolio Selection ◽

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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 ◽

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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Optimal Portfolio Selection with Transaction Costs

North American Actuarial Journal ◽

10.1080/10920277.1997.10595602 ◽

1997 ◽

Vol 1 (2) ◽

pp. 27-39 ◽

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 ◽

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 ◽

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 ◽

Author(s):

Rainer Baule

Keyword(s):

Transaction Costs ◽

Portfolio Selection ◽

Optimal Portfolio ◽

Optimal Portfolio Selection ◽

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