17 search results - page 1 / 4 » Optimal Portfolio Selection with Transaction Costs |
IFIP
1998
Springer
13 years 9 months ago
1998
Springer
COR
2008
13 years 4 months ago
2008
We study the viability of different robust optimization approaches to multiperiod portfolio selection. Robust optimization models treat future asset returns as uncertain coefficie...
ICASSP
2008
IEEE
13 years 11 months ago
2008
IEEE
In this paper, we consider online (sequential) portfolio selection in a competitive algorithm framework under transaction costs. We construct a sequential algorithm for portfolio ...
ANOR
2005
13 years 4 months ago
2005
In this paper we consider a finite-state financial market with non-proportional transaction cost and bid-ask spreads. The transaction cost consists of two parts: a fixed cost and a...
SIAMCO
2002
13 years 4 months ago
2002
We consider a market model with one riskfree and one risky asset, in which the dynamics of the risky asset is governed by a geometric Brownian motion. In this market we consider a...