Transactioncost, s are a source of concerii forport, fo] io mana, gers. Due t, onoiilinearity of
the cost function, the ordinary quadratic programming solutlon teclmique cannot be applied …

In our daily life, almost every family owns a portfolio of assets. This portfolio could contain
real assets such as a car, or a house, as well as financial assets such as stocks, bonds or …

We study the optimal portfolio selection problem with transaction costs. In general, the
efficient frontier can be determined by solving a parametric non-quadratic programming …

US securities firms are the most competitive in the world and are now facing challenges
posed by the internationalization of securities markets. To remain competitive in this ever …

We introduce a new return-momentum indicator that is based on monotonicity of monthly-
return rank order within a lookback period (henceforth abbreviated as MRRO). Based on an …

A Markowitz's mean-variance investment strategy is studied in a market with a stock, a bond,
dividend payment and proportional transaction costs. Two control variables, portfolio …

The elimination in 1975 of fixed minimum brokerage commission rates for agency
transactions in equity securities was one of the more highly publicized events in the still …

Reducing portfolio risk is a major concern for most investors. Diversification has always
been the simplest way to address such a concern. The previous literature shows clearly that …

This study compares the performance of a small portfolio to a benchmark portfolio that is
assumed to be diversified. We develop a new performance index that is calculated, for any …

In this paper, we consider an extension of the Markowitz portfolio and investment problem in
which transaction costs are incurred; contributions and withdrawals are made by the …