The Mean Variance Approach To Portfolio Optimization Subject To Transaction Costs
Work
Year: 1996
Type: article
Abstract: Transaction costs are a source of concern for portfolio managers. Due to nonlinearity of the cost function, the ordinary quadratic programming solution technique cannot be applied. This paper addresse... more
Author Atsushi Yoshimoto
Cites: 10
Cited by: 192
Related to: 10
FWCI:
Citation percentile (by year/subfield): 92.59
Field: Decision Sciences
Domain: Social Sciences
Open Access status: bronze