Portfolio optimization with transaction costs: a two-period mean-variance model
From MaRDI portal
Publication:889558
DOI10.1007/s10479-014-1574-xzbMath1358.91093OpenAlexW1994312169MaRDI QIDQ889558
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
Related Items
Joint tails impact in stochastic volatility portfolio selection models ⋮ Input Demand Under Joint Energy and Output Prices Uncertainties ⋮ A simultaneous diagonalization based SOCP relaxation for portfolio optimization with an orthogonality constraint ⋮ Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint
Cites Work
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- Assessing value at risk with CARE, the conditional autoregressive expectile models
- A risk tolerance model for portfolio adjusting problem with transaction costs based on possibilistic moments
- Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
- Developing a multi-period robust optimization model considering American style options
- A general framework for multistage mean-variance post-tax optimization
- Asset allocation with distorted beliefs and transaction costs
- Multi-objective possibilistic model for portfolio selection with transaction cost
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Transaction costs and efficiency of portfolio strategies
- Robust multiperiod portfolio management in the presence of transaction costs
- Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer
- Portfolio optimization with linear and fixed transaction costs
- Worst-case robust decisions for multi-period mean-variance portfolio optimization
- Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- An Algorithm for Portfolio Optimization with Transaction Costs
- Large-Scale Portfolio Optimization
- Multiperiod Consumption and Investment Behavior with Convex Transactions Costs
- Investment Strategies under Transaction Costs: The Finite Horizon Case
- Portfolio Selection with Transaction Costs
- Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints
