A SIMPLE ALGORITHM FOR OPTIMAL PORTFOLIO SELECTION WITH FIXED TRANSACTION COSTS

被引：57

作者：

PATEL, NR ^{[1
]}

SUBRAHMANYAM, MG ^{[1
]}

机构：

[1] NYU,SCH BUSINESS,NEW YORK,NY 10006

来源：

MANAGEMENT SCIENCE | 1982年 / 28卷 / 03期

关键词：

D O I：

10.1287/mnsc.28.3.303

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

引用

页码：303 / 314

页数：12

共 19 条

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[7] ARE BETAS BEST [J].

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[8] ESTIMATING DEPENDENCE STRUCTURE OF SHARE PRICES IMPLICATIONS FOR PORTFOLIO SELECTION [J].

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[9] LIMITED-DIVERSIFICATION PORTFOLIO SELECTION MODEL FOR SMALL INVESTOR [J].

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[10]

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