Optimal portfolio selection of assets with transaction costs and no short sales

DOI10.1080/002077201300155782zbMath1018.91024OpenAlexW4239907772MaRDI QIDQ3153803

Zhongxiang Li, Zhong-Fei Li, Xiaotie Deng, Shou-Yang Wang

Publication date: 12 September 2003

Full work available at URL: https://doi.org/10.1080/002077201300155782

zbMATH Keywords

transaction costsassetsshort salesoptimal portfolio selectiontaxmean-variance method

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (3)

Mean-Variance Asset Liability Management with State-Dependent Risk Aversion ⋮ The study of mean-variance risky asset management with state-dependent risk aversion under regime switching market ⋮ Models and simulations for portfolio rebalancing

This page was built for publication: Optimal portfolio selection of assets with transaction costs and no short sales