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Document type:
Zeitschriftenaufsatz 
Author(s):
Kalin, D.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
Title:
Portfolio Optimization Under Liquidity Cost 
Abstract:
In this paper we examine the problem of optimally structuring a portfolio of assets with respect to transaction costs and liquidity effects. We claim that the intention of the portfolio manager is to maximize the expected net return of his portfolio, i.e. the expected return after costs, under a given limit for the portfolio risk. We show how this problem can be characterized by a convex optimization problem and that it can be solved by an equivalent quadratic optimization problem minimizing the...    »
 
Intellectual Contribution:
Contribution to Practice 
Journal title:
International Journal of Pure and Applied Mathematics 
Year:
2007 
Journal volume:
39 
Journal issue:
Pages contribution:
221-238 
Language:
en 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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