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Portfolio management with transaction costs

  • Published:1997-03-08 Issue:1958 Volume:453 Page:551-562
  • ISSN:1364-5021
  • Container-title:Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences
  • language:en
  • Short-container-title:Proc. R. Soc. Lond. A

Author:

Atkinson Colin1,Pliska Stanley R.2,Wilmott Paul13

Affiliation:

1. Department of Mathematics, Imperial College of Science, Technology and Medicine, London SW7 2BZ, UK

2. College of Business Administration, University of Illinois at Chicago, Chicago, IL 60607-7124, USA

3. The Mathematical Institute, 24-29 St Giles, Oxford OX1 3LB, UK

Publisher

The Royal Society

Subject

General Physics and Astronomy,General Engineering,General Mathematics

Cited by 39 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Quantum-inspired meta-heuristic approaches for a constrained portfolio optimization problem;Evolutionary Intelligence;2024-03-25

2. Portfolio optimization using simulated annealing and quantum-inspired simulated annealing: A comparative study;Recent Trends in Swarm Intelligence Enabled Research for Engineering Applications;2024

3. Best portfolio management strategies for synthetic and real assets;Physica A: Statistical Mechanics and its Applications;2020-02

4. Strategic Asset Allocation for Life Insurers with Stochastic Liability;European Journal of Pure and Applied Mathematics;2019-07-25

5. On Discrete Probability Approximations for Transaction Cost Problems;Asia-Pacific Financial Markets;2019-02-27
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