Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

Portfolio Optimization Model with Transaction Costs

Portfolio Optimization Model with Transaction Costs The purpose of the article is to formulate, under the l ∞ risk measure, a model of portfolio selection with transaction costs and then investigate the optimal strategy within the proposed. The characterization of a optimal strategy and the efficient algorithm for finding the optimal strategy are given. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Acta Mathematicae Applicatae Sinica Springer Journals

Portfolio Optimization Model with Transaction Costs

Download PDF
18 pages

Loading next page...
 
/lp/springer-journals/portfolio-optimization-model-with-transaction-costs-6Y6wHS4LRz
Publisher
Springer Journals
Copyright
Copyright © 2002 by Springer-Verlag Berlin Heidelberg
Subject
Mathematics; Applications of Mathematics; Math Applications in Computer Science; Theoretical, Mathematical and Computational Physics
ISSN
0168-9673
eISSN
1618-3932
DOI
10.1007/s102550200022
Publisher site
See Article on Publisher Site

Abstract

The purpose of the article is to formulate, under the l ∞ risk measure, a model of portfolio selection with transaction costs and then investigate the optimal strategy within the proposed. The characterization of a optimal strategy and the efficient algorithm for finding the optimal strategy are given.

Journal

Acta Mathematicae Applicatae Sinica – Springer Journals

Published: Jan 1, 2002

References