A new optimal portfolio selection strategy based on a quadratic form mean-variance model with transaction costs

DOI10.1002/oca.936zbMath1215.91074OpenAlexW1972509769MaRDI QIDQ3008844

Genshiro Kitagawa, Min Gan, Hui Peng, Xiao Hong Chen

Publication date: 22 June 2011

Published in: Optimal Control Applications and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/oca.936

zbMATH Keywords

optimal portfoliotransaction costportfolio selectionmean-variance model

Mathematics Subject Classification ID

Quadratic programming (90C20) Portfolio theory (91G10)

Related Items (1)

Portfolio selection problems with Markowitz's mean-variance framework: a review of literature

Cites Work

• Unnamed Item
• An MCDM approach to portfolio optimization.
• Smoothness priors analysis of time series
• Information criteria and statistical modeling.
• Large-Scale Portfolio Optimization
• Introduction to Time Series Modeling
• A Simple Algorithm for Optimal Portfolio Selection with Fixed Transaction Costs

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