Robust covariance estimators for mean-variance portfolio optimization with transaction lots
نویسندگان
چکیده
منابع مشابه
Mean-Variance Portfolio Rebalancing with Transaction Costs∗
Transaction costs can make it unprofitable to rebalance all the way to the ideal portfolio. A single-period analysis using mean-variance theory provides many interesting insights. With fixed or variable costs, there is a non-trading region within which trading does not pay. With only variable costs, any trading is to the boundary of the non-trading region, while fixed costs induce trading to th...
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ژورنال
عنوان ژورنال: Operations Research Perspectives
سال: 2020
ISSN: 2214-7160
DOI: 10.1016/j.orp.2020.100154