Portfolio models with return forecasting and transaction costs
Author:
Funder
Ministry of Science and Technology of Taiwan
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference25 articles.
1. A close look at short selling on Nasdaq;Angel;Financial Analysts Journal,2003
2. Multi-asset portfolio optimization with transaction cost;Atkinson;Applied Mathematical Finance,2004
3. Predicting stock returns;Avramov;Journal of Financial Economics,2006
4. A mixed integer linear programming formulation of the optimal mean/value-at-risk portfolio problem;Benati;European Journal of Operational Research,2007
5. A modified goal programming approach for the mean-absolute deviation portfolio optimization model;Chang;Applied Mathematics and Computation,2005
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