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Selecting Portfolios with Fixed Costs and Minimum Transaction Lots · Study

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ArticleSelecting Portfolios with Fixed Costs and Minimum Transaction Lots

Hans G. Kellerer2000

Article2000

Selecting Portfolios with Fixed Costs and Minimum Transaction Lots

Hans G. Kellerer · Renata Mansini · Maria Grazia Speranza

162 citations·0/0 files stored·Annals of Operations Research

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Risk and Portfolio Optimization Advanced Optimization Algorithms Research Optimization and Mathematical Programming

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References

1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market 1990Portfolio Selection with Transaction Costs 2016Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio 1991An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs 1999Heuristic algorithms for the portfolio selection problem with minimum transaction lots 1990Transactions costs and portfolio choice in a discrete-continuous-time setting 1975The Optimal Number of Securities in a Risky Asset Portfolio When There are Fixed Costs of Transacting: Theory and Some Empirical Results

Cited by

2006OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION 2003LP solvable models for portfolio optimization: a classification and computational comparison 2012Portfolio rebalancing with an investment horizon and transaction costs 2014A multi-period fuzzy portfolio optimization model with minimum transaction lots 2018On the increasing importance of multiple criteria decision aid methods for portfolio selection

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Year2000

Typearticle

Published2000-12-01

VenueAnnals of Operations Research

ISSN-L0254-5330

Languageen

Citations162

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1023/a:1019279918596

openalex_workW1533283941

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2010

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2010Kernel Search: a new heuristic framework for portfolio selection