Portfolio optimization with transaction costs: a two-period mean-variance model
type: Item
instance of: scholarly article
title: Portfolio optimization with transaction costs: a two-period mean-variance model
zbMATH Open document ID: 1358.91093
author: Ying Hui Fu
author: Kien Ming Ng
author: Boray Huang
author: Huei-Chuen Huang
published in: Annals of Operations Research
publication date: 2015-11-09T00:00:00Z
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 6505785
zbMATH Keywords: investment analysis
zbMATH Keywords: multiperiod portfolio optimization
zbMATH Keywords: mean-variance analysis
zbMATH Keywords: transaction costs
MaRDI profile type: Publication
full work available at URL: s10479-014-1574-x
OpenAlex ID: W1994312169
cites work: Robust multiperiod portfolio management in the presence of transaction costs
cites work: An Algorithm for Portfolio Optimization with Transaction Costs
cites work: Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer
cites work: Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
cites work: Multiperiod Consumption and Investment Behavior with Convex Transactions Costs
cites work: Optimal consumption and portfolio policies when asset prices follow a diffusion process
cites work: Portfolio Selection with Transaction Costs
cites work: Investment Strategies under Transaction Costs: The Finite Horizon Case
cites work: Worst-case robust decisions for multi-period mean-variance portfolio optimization
cites work: Multi-objective possibilistic model for portfolio selection with transaction cost
cites work: Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints
cites work: Asset allocation with distorted beliefs and transaction costs
cites work: Assessing value at risk with CARE, the conditional autoregressive expectile models
cites work: Q4228005
cites work: Optimal dynamic portfolio selection: multiperiod mean-variance formulation
cites work: Portfolio optimization with linear and fixed transaction costs
cites work: Developing a multi-period robust optimization model considering American style options
cites work: Optimum consumption and portfolio rules in a continuous-time model
cites work: A general framework for multistage mean-variance post-tax optimization
cites work: Transaction costs and efficiency of portfolio strategies
cites work: Large-Scale Portfolio Optimization
cites work: Markowitz revisited: mean-variance models in financial portfolio analysis
cites work: A risk tolerance model for portfolio adjusting problem with transaction costs based on possibilistic moments
DOI: 10.1007/S10479-014-1574-X
description: scientific article; zbMATH DE number 6505785