Portfolio Analysis with Transaction Costs Under Uncertainty*


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详细

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.

作者简介

M. Al-Nator

Financial University under the Government of the Russian Federation

编辑信件的主要联系方式.
Email: malnator@yandex.ru
俄罗斯联邦, Moscow

S. Al-Nator

Financial University under the Government of the Russian Federation

Email: malnator@yandex.ru
俄罗斯联邦, Moscow

Yu. Kasimov

Financial University under the Government of the Russian Federation

Email: malnator@yandex.ru
俄罗斯联邦, Moscow

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