Portfolio Revision under Mean-Variance and Mean-CVaR with Transaction Costs

• Main Authors: CHEN, Andrew, FABOZZI, Frank, Dashan HUANG
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2012
• Subjects: Portfolio revision; Transaction costs; Mean-variance; Conditional value-at-risk (CVaR); Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/4785
• Institution: Singapore Management University

The portfolio revision process usually begins with a portfolio of assets rather than cash. As a result, some assets must be liquidated to permit investment in other assets, incurring transaction costs that should be directly integrated into the portfolio optimization problem. This paper discusses an...