THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS

@article{Yoshimoto1996THEMA,
  title={THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS},
  author={Atsushi Yoshimoto},
  journal={Journal of The Operations Research Society of Japan},
  year={1996},
  volume={39},
  pages={99-117}
}
  • A. Yoshimoto
  • Published 1 March 1996
  • Computer Science
  • Journal of The Operations Research Society of Japan
Tra,nsact>ion costss are a. source of concern for port,folio managers. Due to nonlinearity of the cost function, the ordinary quadratic programming solution technique cannot be applied. This paper addresses the portfolio optinlization problem subject to transaction costs. The transaction cost is assumed to be a V-sha,ped function of difference between an existing and new portfolio. A nonlinear programming solution technique is used to solve t,he proposed problem. The port,folio optimiza,t,ion… 

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