Title: Robust Optimal Investment Portfolio with Transaction Costs
Abstract: Three aspects were considered on investment portfolio:impacts of transaction costs and taxes on the choice of investment portfolio,hypothesis that correlated parameter between the earnings of risk assets and risk-free assets belong to some known convex polyhedron and analysis on robust investment portfolio with the condition of risk assets and risk-free assets respectively as well as their analytical solutions.
Publication Year: 2010
Publication Date: 2010-01-01
Language: en
Type: article
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