THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS

DOI10.15807/jorsj.39.99zbMath0851.90014MaRDI QIDQ4889754

Atsushi Yoshimoto

Publication date: 6 August 1996

Published in: Journal of the Operations Research Society of Japan (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15807/jorsj.39.99

zbMATH Keywords

portfolio optimization; transaction costs

Mathematics Subject Classification ID

90C90: Applications of mathematical programming

90C15: Stochastic programming

91G10: Portfolio theory

Related Items

Smoothing and Regularization for Mixed-Integer Second-Order Cone Programming with Applications in Portfolio Optimization, A compromise solution to mutual funds portfolio selection with transaction costs, Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints, Portfolio rebalancing model using multiple criteria, Portfolio adjusting optimization with added assets and transaction costs based on credibility measures, A risk tolerance model for portfolio adjusting problem with transaction costs based on possibilistic moments, Possibilistic approaches to portfolio selection problem with general transaction costs and a CLPSO algorithm, Two new models for portfolio selection with stochastic returns taking fuzzy information, Multi-period possibilistic mean semivariance portfolio selection with cardinality constraints and its algorithm, Risk curve and fuzzy portfolio selection, Multi-objective possibilistic model for portfolio selection with transaction cost, Penalty algorithm based on conjugate gradient method for solving portfolio management problem, A cutting plane algorithm for MV portfolio selection model, Models and simulations for portfolio rebalancing, Heuristics for cardinality constrained portfolio optimization, A model for portfolio selection with order of expected returns., Fuzzy portfolio optimization model under real constraints, Periodic portfolio revision with transaction costs, An analytic derivation of admissible efficient frontier with borrowing, Neural network-based mean-variance-skewness model for portfolio selection, Portfolio rebalancing model with transaction costs based on fuzzy decision theory, Portfolio selection with a new definition of risk, On admissible efficient portfolio selection: models and algorithms, Fuzzy chance-constrained portfolio selection, Dynamic portfolio management under competing representations, Matrix decomposition and Lagrangian dual method for discrete portfolio optimization under concave transaction costs