Optimal Portfolio Revision with a Proportional Transaction Cost
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Publication:4074604
DOI10.1287/mnsc.21.11.1263zbMath0314.90007OpenAlexW2067268581MaRDI QIDQ4074604
Publication date: 1975
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/mnsc.21.11.1263
Related Items (6)
Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs ⋮ Multi-period portfolio management and a simple method for calculating the realized return with transaction costs ⋮ Fuzzy multi-period portfolio selection model with discounted transaction costs ⋮ Optimal Portfolio Selection with Transaction Costs ⋮ Numeraire portfolios and utility-based price systems under proportional transaction costs ⋮ UTILITY MAXIMIZATION IN A BINOMIAL MODEL WITH TRANSACTION COSTS: A DUALITY APPROACH BASED ON THE SHADOW PRICE PROCESS
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