Portfolio Revision under Mean-Variance and Mean-CVaR with Transaction Costs
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...
Saved in:
Main Authors: | CHEN, Andrew, FABOZZI, Frank, Dashan HUANG |
---|---|
Format: | text |
Language: | English |
Published: |
Institutional Knowledge at Singapore Management University
2012
|
Subjects: | |
Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/4785 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Institution: | Singapore Management University |
Language: | English |
Similar Items
-
Portfolio Selection with Uncertain Exit Time: A Robust CVaR Approach
by: Dashan HUANG,, et al.
Published: (2008) -
Robust Portfolios: Contributions from Operations Research and Finance
by: FABOZZI, Frank, et al.
Published: (2010) -
Discrete-time mean-variance portfolio selection with transaction costs
by: XIONG DAN
Published: (2010) -
Optimal dynamic mean–variance portfolio subject to proportional transaction costs and no-shorting constraint
by: Pun, Chi Seng, et al.
Published: (2022) -
Tail mean-variance portfolio selection with estimation risk
by: Huang, Zhenzhen, et al.
Published: (2024)