Portfolio optimization with transaction costs: a two-period mean-variance model
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Publication:889558
DOI10.1007/S10479-014-1574-XzbMATH Open1358.91093OpenAlexW1994312169MaRDI QIDQ889558FDOQ889558
Ying Hui Fu, Boray Huang, Kien Ming Ng, Huei-Chuen Huang
Publication date: 9 November 2015
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-014-1574-x
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Cited In (18)
- Joint tails impact in stochastic volatility portfolio selection models
- Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network
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- THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS
- Linear versus quadratic portfolio optimization model with transaction cost
- Multi-period portfolio management and a simple method for calculating the realized return with transaction costs
- Advancement of Optimal Portfolio Models with Short-Sales and Transaction Costs: Methodology and Effectiveness
- Intertemporal portfolio optimization with small transaction costs and stochastic variance
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- A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost
- VaR optimal portfolio with transaction costs
- Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint
- Mean-variance Dynamic Portfolio Allocation with Transaction Costs: A Wiener Chaos Expansion Approach
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- Input Demand Under Joint Energy and Output Prices Uncertainties
- Multi-period mean-variance portfolio selection with fixed and proportional transaction costs
- A simultaneous diagonalization based SOCP relaxation for portfolio optimization with an orthogonality constraint
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