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 publiéDate
2008Journal name
Quality and QuantityVolume
42Number
5Publisher
Springer
Pages
613-644
Publication identifier
Metadata
Show full item recordAbstract (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 optimizationRelated items
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