A new optimal portfolio selection strategy based on a quadratic form mean-variance model with transaction costs

Optimal Control Applications and Methods

Volumn 32, Issue 2, 2011, Pages 127-138

  Peng, Hui ^a   Kitagawa, Genshiro ^b   Gan, Min ^a   Chen, Xiaohong ^a  

^a CENTRAL SOUTH UNIVERSITY   (China)

^b INSTITUTE OF STATISTICAL MATHEMATICS   (Japan)

Author keywords

mean variance model; optimal portfolio; portfolio selection; transaction cost

Indexed keywords

AR PARAMETER; AUTO REGRESSIVE MODELS; EXPECTED RETURN; FIRST-ORDER; LEAST SQUARES METHODS; MARKOWITZ; MEAN VARIANCE; MEAN VARIANCE MODEL; MODEL YIELDS; MOVING WINDOW; OPTIMAL PORTFOLIO; OPTIMAL PORTFOLIO SELECTION; OPTIMAL PORTFOLIOS; OPTIMIZATION PROBLEMS; PERFORMANCE IMPROVEMENTS; PORTFOLIO SELECTION; QUADRATIC FORM; TRADING RISKS; TRANSACTION COST;

COSTS; LEAST SQUARES APPROXIMATIONS; NUMBER THEORY; QUADRATIC PROGRAMMING;

OPTIMIZATION;

EID: 79952951409     PISSN: 01432087     EISSN: 10991514     Source Type: Journal    
DOI: 10.1002/oca.936     Document Type: Article

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