Optimal Portfolio Revision with a Proportional Transaction Cost
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Publication:4074604
DOI10.1287/MNSC.21.11.1263zbMATH Open0314.90007OpenAlexW2067268581MaRDI QIDQ4074604FDOQ4074604
Authors: Jules H. Kamin 
Publication date: 1975
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/mnsc.21.11.1263
Cited In (7)
- Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs
- Utility maximization in a binomial model with transaction costs: a duality approach based on the shadow price process
- Filter-based portfolio strategies in an HMM setting with varying correlation parametrizations
- Multi-period portfolio management and a simple method for calculating the realized return with transaction costs
- Numeraire portfolios and utility-based price systems under proportional transaction costs
- Fuzzy multi-period portfolio selection model with discounted transaction costs
- Optimal Portfolio Selection with Transaction Costs
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