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

DOI10.15807/JORSJ.39.99zbMATH Open0851.90014OpenAlexW2109635221MaRDI QIDQ4889754FDOQ4889754

Authors: 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

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zbMATH Keywords

portfolio optimizationtransaction costs

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10) Stochastic programming (90C15)

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• Mean-variance Dynamic Portfolio Allocation with Transaction Costs: A Wiener Chaos Expansion Approach

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