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
TypeArticle accepté pour publication ou publié
Journal nameQuality and Quantity
MetadataShow full item record
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 / KeywordsTransaction costs; Portfolio selection; Return optimization
Showing items related by title and author.
Lajili, Souad (2007) Article accepté pour publication ou publié
The capital asset pricing model and the three factor model of Fama and French revisited in the case of France Lajili, Souad (2002) Document de travail / Working paper
Option Pricing via Utility Maximization in the presence of Transaction Costs: an Asymptotic Analysis Bouchard, Bruno (2000) Document de travail / Working paper
Lajili, Souad (2005) Communication / Conférence
Boon, Ling-Ni; Ielpo, Florian (2014) Article accepté pour publication ou publié