Matches in SemOpenAlex for { <https://semopenalex.org/work/W2328310979> ?p ?o ?g. }
- W2328310979 endingPage "656" @default.
- W2328310979 startingPage "643" @default.
- W2328310979 abstract "Portfolio selection problem is one of the core research fields in modern financial economics. Considering the transaction costs in multi-period investments makes portfolio selection problems hard to solve. In this paper, the multi-period mean-variance portfolio selection problems with fixed and proportional transaction costs are investigated. By introducing the Lagrange multiplier and using the dynamic programming approach, the indirect utility function is defined for solving the portfolio selection problem constructed in this paper. The optimal strategies and the boundaries of the no-transaction region are obtained in the explicit form. And the efficient frontier for the original portfolio selection problems is also given. Numerical result shows that the method provided in this paper works well." @default.
- W2328310979 created "2016-06-24" @default.
- W2328310979 creator A5045137489 @default.
- W2328310979 creator A5065058975 @default.
- W2328310979 date "2013-01-01" @default.
- W2328310979 modified "2023-10-16" @default.
- W2328310979 title "Multi-period mean-variance portfolio selection with fixed and proportional transaction costs" @default.
- W2328310979 cites W1964833263 @default.
- W2328310979 cites W1979508981 @default.
- W2328310979 cites W1983491159 @default.
- W2328310979 cites W1984697146 @default.
- W2328310979 cites W1989259113 @default.
- W2328310979 cites W1997257815 @default.
- W2328310979 cites W2025865698 @default.
- W2328310979 cites W2038865108 @default.
- W2328310979 cites W2066115215 @default.
- W2328310979 cites W2067268581 @default.
- W2328310979 cites W2082551206 @default.
- W2328310979 cites W2090480137 @default.
- W2328310979 cites W2091883123 @default.
- W2328310979 cites W2099438388 @default.
- W2328310979 cites W2112492110 @default.
- W2328310979 cites W2115580984 @default.
- W2328310979 cites W2126373180 @default.
- W2328310979 cites W2296613601 @default.
- W2328310979 cites W2332336337 @default.
- W2328310979 cites W4241627017 @default.
- W2328310979 cites W2131728793 @default.
- W2328310979 doi "https://doi.org/10.3934/jimo.2013.9.643" @default.
- W2328310979 hasPublicationYear "2013" @default.
- W2328310979 type Work @default.
- W2328310979 sameAs 2328310979 @default.
- W2328310979 citedByCount "15" @default.
- W2328310979 countsByYear W23283109792015 @default.
- W2328310979 countsByYear W23283109792016 @default.
- W2328310979 countsByYear W23283109792017 @default.
- W2328310979 countsByYear W23283109792018 @default.
- W2328310979 countsByYear W23283109792019 @default.
- W2328310979 countsByYear W23283109792020 @default.
- W2328310979 countsByYear W23283109792021 @default.
- W2328310979 countsByYear W23283109792022 @default.
- W2328310979 countsByYear W23283109792023 @default.
- W2328310979 crossrefType "journal-article" @default.
- W2328310979 hasAuthorship W2328310979A5045137489 @default.
- W2328310979 hasAuthorship W2328310979A5065058975 @default.
- W2328310979 hasBestOaLocation W23283109791 @default.
- W2328310979 hasConcept C10138342 @default.
- W2328310979 hasConcept C114866470 @default.
- W2328310979 hasConcept C126255220 @default.
- W2328310979 hasConcept C149782125 @default.
- W2328310979 hasConcept C154945302 @default.
- W2328310979 hasConcept C15952604 @default.
- W2328310979 hasConcept C162324750 @default.
- W2328310979 hasConcept C175444787 @default.
- W2328310979 hasConcept C187736073 @default.
- W2328310979 hasConcept C202655437 @default.
- W2328310979 hasConcept C21099588 @default.
- W2328310979 hasConcept C2780821815 @default.
- W2328310979 hasConcept C33923547 @default.
- W2328310979 hasConcept C37404715 @default.
- W2328310979 hasConcept C41008148 @default.
- W2328310979 hasConcept C51485801 @default.
- W2328310979 hasConcept C73684929 @default.
- W2328310979 hasConcept C73938075 @default.
- W2328310979 hasConcept C74510933 @default.
- W2328310979 hasConcept C81917197 @default.
- W2328310979 hasConcept C98965940 @default.
- W2328310979 hasConceptScore W2328310979C10138342 @default.
- W2328310979 hasConceptScore W2328310979C114866470 @default.
- W2328310979 hasConceptScore W2328310979C126255220 @default.
- W2328310979 hasConceptScore W2328310979C149782125 @default.
- W2328310979 hasConceptScore W2328310979C154945302 @default.
- W2328310979 hasConceptScore W2328310979C15952604 @default.
- W2328310979 hasConceptScore W2328310979C162324750 @default.
- W2328310979 hasConceptScore W2328310979C175444787 @default.
- W2328310979 hasConceptScore W2328310979C187736073 @default.
- W2328310979 hasConceptScore W2328310979C202655437 @default.
- W2328310979 hasConceptScore W2328310979C21099588 @default.
- W2328310979 hasConceptScore W2328310979C2780821815 @default.
- W2328310979 hasConceptScore W2328310979C33923547 @default.
- W2328310979 hasConceptScore W2328310979C37404715 @default.
- W2328310979 hasConceptScore W2328310979C41008148 @default.
- W2328310979 hasConceptScore W2328310979C51485801 @default.
- W2328310979 hasConceptScore W2328310979C73684929 @default.
- W2328310979 hasConceptScore W2328310979C73938075 @default.
- W2328310979 hasConceptScore W2328310979C74510933 @default.
- W2328310979 hasConceptScore W2328310979C81917197 @default.
- W2328310979 hasConceptScore W2328310979C98965940 @default.
- W2328310979 hasIssue "3" @default.
- W2328310979 hasLocation W23283109791 @default.
- W2328310979 hasOpenAccess W2328310979 @default.
- W2328310979 hasPrimaryLocation W23283109791 @default.
- W2328310979 hasRelatedWork W2043726147 @default.
- W2328310979 hasRelatedWork W2109635221 @default.
- W2328310979 hasRelatedWork W2162482268 @default.
- W2328310979 hasRelatedWork W2358972532 @default.
- W2328310979 hasRelatedWork W2363364691 @default.
- W2328310979 hasRelatedWork W2364187944 @default.