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- W2349305791 abstract "There are many different kinds of investment restrictions in real stock markets.Aimed at comprehensively reflecting various market frictions and properly measuring the investment risk,we construct two new realistic portfolio selection models with several discrete-type constraints by adopting CVaR and the two-sided coherent risk measure as the investment risk measure,respectively.With daily trading data from the Shenzhen stock market,we empirically investigate the influence of the proportional transaction cost constraint and logical constraints on the optimal portfolio selection and its performance.Some useful investment suggestions are then derived from our empirical results.Detailed empirical results and analyses not only show the reasonability and practicality of our new models,but the functions of different market frictions." @default.
- W2349305791 created "2016-06-24" @default.
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- W2349305791 date "2012-01-01" @default.
- W2349305791 modified "2023-09-24" @default.
- W2349305791 title "Realistic Portfolio Selection Models with Discrete-type Constraints" @default.
- W2349305791 hasPublicationYear "2012" @default.
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