scientific article; zbMATH DE number 1336607

DOI10.1002/(SICI)1099-0747(199812)14:4%3C275::AID-ASM364%3E3.0.CO;2-PzbMATH Open0924.90015MaRDI QIDQ4258744FDOQ4258744

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Publication date: 14 September 1999

Title of this publication is not available (Why is that?)

Recommendations

• THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS
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• Mean-variance portfolio selection with transaction costs and liability
• A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs

zbMATH Keywords

portfolio optimizationtransaction costsseparable programming

Mathematics Subject Classification ID

Portfolio theory (91G10) Mixed integer programming (90C11)

Cited In (8)

• Multiperiod mean-variance optimization with intertemporal restrictions
• Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network
• Mean-variance lower-semi-variance portfolio model with transaction costs
• THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS
• Optimization ofN-risky asset portfolios with stochastic variance and transaction costs
• The mixture of fundamental indexing and minimum semi-variance portfolio selection
• Title not available (Why is that?)
• A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost

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