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The number of securities giving the maximum return in the presence of transaction costs

Lajili, Souad; Rakotondratsimba, Yves (2008), The number of securities giving the maximum return in the presence of transaction costs, Quality and Quantity, 42, 5, p. 613-644. http://dx.doi.org/10.1007/s11135-007-9126-y

Type
Article accepté pour publication ou publié
Date
2008
Journal name
Quality and Quantity
Volume
42
Number
5
Publisher
Springer
Pages
613-644
Publication identifier
http://dx.doi.org/10.1007/s11135-007-9126-y
Metadata
Show full item record
Author(s)
Lajili, Souad
Rakotondratsimba, Yves
Abstract (EN)
An essential element of any realistic investment portfolio selection is the consideration of transaction costs. Our purpose, in this paper, is to determine the maximum return and the corresponding number of securities to buy giving such return, whenever practical constraints features related to budget, buy-in thresholds, and transaction costs are taken into consideration. Dealing with the portfolio selection and optimization problem in the point of view of individual investors, we will arrive to get an analytic result, leading to a new and simple alternative solution to heuristic algorithms. Moreover, this result can be considered as another approach to integer optimization.
Subjects / Keywords
Transaction costs; Portfolio selection; Return optimization
JEL
G24 - Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies
C61 - Optimization Techniques; Programming Models; Dynamic Analysis
D23 - Organizational Behavior; Transaction Costs; Property Rights
G11 - Portfolio Choice; Investment Decisions

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