Email this article Portfolio Analysis with Transaction Costs Under Uncertainty*
- Authors: Al-Nator M.S.1, Al-Nator S.V.1, Kasimov Y.F.1
-
Affiliations:
- Financial University under the Government of the Russian Federation
- Issue: Vol 214, No 1 (2016)
- Pages: 12-21
- Section: Article
- URL: https://bakhtiniada.ru/1072-3374/article/view/237311
- DOI: https://doi.org/10.1007/s10958-016-2754-9
- ID: 237311
Cite item
Open Access
Access granted
Subscription Access
Abstract
We obtain explicit formulas for the expected portfolio return and portfolio variance for portfolios with commission, which are in the general case unsmooth rational functions of the absolute value of portfolio weights. We prove that the function of expected portfolio return and portfolio variance function with commission are bounded. Two-asset portfolios with commission are investigated in detail.
About the authors
M. S. Al-Nator
Financial University under the Government of the Russian Federation
Author for correspondence.
Email: malnator@yandex.ru
Russian Federation, Moscow
S. V. Al-Nator
Financial University under the Government of the Russian Federation
Email: malnator@yandex.ru
Russian Federation, Moscow
Yu. F. Kasimov
Financial University under the Government of the Russian Federation
Email: malnator@yandex.ru
Russian Federation, Moscow
Supplementary files
