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Selecting Portfolios with Fixed Costs and Minimum Transaction Lots
7 references·16 citing·47 second hop
Selecting Portfolios with Fixed Costs and Minimum Transaction Lots (2000)Selecting Portfolios with Fixed Costs and…Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio (2016)Equilibrium in an Imperfect M…Heuristic algorithms for the portfolio selection problem with minimum transaction lots (1999)Heuristic algorithms for the …Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Mean-Absolute Deviation Portf…An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs (1991)An Exact Solution to a Dynami…Transactions costs and portfolio choice in a discrete-continuous-time setting (1990)Transactions costs and portfo…Portfolio Selection with Transaction Costs (1990)Portfolio Selection with Tran…The Optimal Number of Securities in a Risky Asset Portfolio When There are Fixed Costs of Transacting: Theory and Some Empirical Results (1975)The Optimal Number of Securit…A multi-objective approach based on Markowitz and DEA cross-efficiency models for the intuitionistic fuzzy portfolio selection problem (2022)A multi-objective approach ba…On the increasing importance of multiple criteria decision aid methods for portfolio selection (2018)On the increasing importance …Estimation of portfolio efficiency via DEA (2014)Estimation of portfolio effic…A multi-period fuzzy portfolio optimization model with minimum transaction lots (2014)A multi-period fuzzy portfoli…Robust goal programming for multi-objective portfolio selection problem (2013)Robust goal programming for m…Portfolio rebalancing with an investment horizon and transaction costs (2012)Portfolio rebalancing with an…Kernel Search: a new heuristic framework for portfolio selection (2010)Kernel Search: a new heuristi…A robust mean absolute deviation model for portfolio optimization (2010)A robust mean absolute deviat…Metaheuristics for the Portfolio Selection Problem (2008)Metaheuristics for the Portfo…A comparison of MAD and CVaR models with real features (2007)A comparison of MAD and CVaR …OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION (2006)OPTIMAL LOT SOLUTION TO CARDI…On the existence of solutions to the quadratic mixed-integer mean–variance portfolio selection problem (2006)On the existence of solutions…An exact approach for portfolio selection with transaction costs and rounds (2005)An exact approach for portfol…Semi-Absolute Deviation Rule for Mutual Funds Portfolio Selection (2003)Semi-Absolute Deviation Rule …On LP Solvable Models for Portfolio Selection (2003)On LP Solvable Models for Por…LP solvable models for portfolio optimization: a classification and computational comparison (2003)LP solvable models for portfo…Liquidity Preference as Behavior Towards Risk (1958)Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Bank funding modes (1987)Residual Risk, Trading Costs, and Commodity Futures Risk Premia: (1988)Social Performance and Firm Risk: Impact of the Financial Crisis (2016)PORTFOLIO SELECTION* (1952)Coherent Measures of Risk (1999)Heuristics for cardinality constrained portfolio optimisation (2000)A heuristic framework for the bi-objective enhanced index tracking problem (2016)A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios (2016)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Option pricing: A simplified approach (1979)Optimal Portfolio Choice and the Valuation of Illiquid Securities (2001)Asset Prices and Trading Volume under Fixed Transactions Costs (2004)Optimal Consumption and Investment with Transaction Costs and Multiple Risky Assets (2004)Optimum consumption and portfolio rules in a continuous-time model (1971)Option Pricing and Replication with Transactions Costs (1985)Capital Market Equilibrium with Transaction Costs (1986)Liquidity shocks and equilibrium liquidity premia (2003)Optimal Price Setting With Observation and Menu Costs (2011)Sources of Inaction in Household Finance: Evidence from the Danish Mortgage Market (2020)Modern Portfolio Theory and Investment Analysis. (1982)From stochastic dominance to mean-risk models: Semideviations as risk measures (1999)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Safety First and the Holding of Assets (1952)Conditional value-at-risk for general loss distributions (2002)Lagrangian relaxation procedure for cardinality-constrained portfolio optimization (2008)Optimal Cardinality Constrained Portfolio Selection (2013)A brief review of portfolio optimization techniques (2022)A Simplified Model for Portfolio Analysis (1963)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)On Diversification Given Asymmetry in Returns (1981)Equilibrium interest rate and liquidity premium with transaction costs (1999)Neural network-based mean–variance–skewness model for portfolio selection (2006)Portfolio Selection (1952)Genetic algorithms for portfolio selection problems with minimum transaction lots (2007)Markowitz-based portfolio selection with minimum transaction lots, cardinality constraints and regarding sector capitalization using genetic algorithm (2008)Particle swarm optimization approach to portfolio optimization (2008)Optimization of conditional value-at-risk (2000)Data envelopment analysis of mutual funds based on second-order stochastic dominance (2007)Mixed integer linear programming models for optimal crop selection (2016)Fuzzy Portfolio Optimization of Power Generation Assets (2018)Arbitrage Theory in Continuous Time (1998)Optimal control of execution costs (1998)Arbitrage Theory in Continuous Time (2004)
this work references cited by second hop

References

  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
  • 1990Portfolio Selection with Transaction Costs1,318 cited
  • 2016Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio542 cited
  • 1991An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs401 cited
  • 1999Heuristic algorithms for the portfolio selection problem with minimum transaction lots272 cited
  • 1990Transactions costs and portfolio choice in a discrete-continuous-time setting166 cited
  • 1975The Optimal Number of Securities in a Risky Asset Portfolio When There are Fixed Costs of Transacting: Theory and Some Empirical Results156 cited

Cited by

  • 2006OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION163 cited
  • 2003LP solvable models for portfolio optimization: a classification and computational comparison128 cited
  • 2012Portfolio rebalancing with an investment horizon and transaction costs118 cited
  • 2014A multi-period fuzzy portfolio optimization model with minimum transaction lots106 cited
  • 2018On the increasing importance of multiple criteria decision aid methods for portfolio selection100 cited
  • 2010A robust mean absolute deviation model for portfolio optimization84 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2014
Estimation of portfolio efficiency via DEA
83 cited
  • 2010Kernel Search: a new heuristic framework for portfolio selection75 cited
  • 2003On LP Solvable Models for Portfolio Selection74 cited
  • 2007A comparison of MAD and CVaR models with real features72 cited
  • 2008Metaheuristics for the Portfolio Selection Problem64 cited
  • 2005An exact approach for portfolio selection with transaction costs and rounds63 cited
  • 2022A multi-objective approach based on Markowitz and DEA cross-efficiency models for the intuitionistic fuzzy portfolio selection problem61 cited
  • 2006On the existence of solutions to the quadratic mixed-integer mean–variance portfolio selection problem57 cited
  • 2003Semi-Absolute Deviation Rule for Mutual Funds Portfolio Selection53 cited
  • 2013Robust goal programming for multi-objective portfolio selection problem44 cited