Transaction costs and efficiency of portfolio strategies

DOI10.1016/0377-2217(95)00282-0zbMath0924.90023OpenAlexW2089961647MaRDI QIDQ1278207

Antoon Pelsser, Ton Vorst

Publication date: 10 November 1999

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://repub.eur.nl/pub/70284

zbMATH Keywords

optionstransaction costsportfolio strategy

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (4)

AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING ⋮ Portfolio optimization with transaction costs: a two-period mean-variance model ⋮ Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation ⋮ Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection

Cites Work

• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• Option pricing: A simplified approach
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