Portfolio Optimization Model with Transaction Costs

被引：0
|
作者：
Shu-ping Chen
机构：
来源：
Acta Mathematicae Applicatae Sinica | 2002年 / 02期
关键词：
Transaction cost; portfolio optimization model; algorithm;
D O I：
暂无
中图分类号：
O224 [最优化的数学理论];
学科分类号：
070105 ; 1201 ;
摘要：
Abstract The purpose of the article is to formulate,under the lrisk measure,a model of portfolio selectionwith transaction costs and then investigate the optimal strategy within the proposed.The characterization of aoptimal strategy and the efficient algorithm for finding the optimal strategy are given.
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页码：231 / 248
页数：18
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