Multiperiod Portfolio Selection with Different Rates for Borrowing and Lending in Presence of Transaction Costs
Portfolio management is one of the most important areas of research in financial engineering. This paper is concerned with multi period decision problem for financial asset allocation when the rate of borrowing is greater than the rate of lending. Transaction costs as a source of concern for portfol...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Iran University of Science & Technology
2010-06-01
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| Series: | International Journal of Industrial Engineering and Production Research |
| Subjects: | |
| Online Access: | http://ijiepr.iust.ac.ir/browse.php?a_code=A-10-9-1&slc_lang=en&sid=1 |
| _version_ | 1818928875212636160 |
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| author | S.M. Seyedhosseini S. J. Sadjadi Kh. Hassanlou |
| author_facet | S.M. Seyedhosseini S. J. Sadjadi Kh. Hassanlou |
| author_sort | S.M. Seyedhosseini |
| collection | DOAJ |
| description | Portfolio management is one of the most important areas of research in financial engineering. This paper is concerned with multi period decision problem for financial asset allocation when the rate of borrowing is greater than the rate of lending. Transaction costs as a source of concern for portfolio managers is also considered in this paper. The proposed method of this paper is formulated in a form of dynamic linear programming which is capable of determining the amount of investment in different time periods. The method is also implemented using some numerical examples and the output results are discussed. |
| first_indexed | 2024-12-20T03:35:51Z |
| format | Article |
| id | doaj.art-4cb09d06847346f69db4ddb8a2c08471 |
| institution | Directory Open Access Journal |
| issn | 2008-4889 2345-363X |
| language | English |
| last_indexed | 2024-12-20T03:35:51Z |
| publishDate | 2010-06-01 |
| publisher | Iran University of Science & Technology |
| record_format | Article |
| series | International Journal of Industrial Engineering and Production Research |
| spelling | doaj.art-4cb09d06847346f69db4ddb8a2c084712022-12-21T19:54:52ZengIran University of Science & TechnologyInternational Journal of Industrial Engineering and Production Research2008-48892345-363X2010-06-012114551Multiperiod Portfolio Selection with Different Rates for Borrowing and Lending in Presence of Transaction CostsS.M. Seyedhosseini0S. J. Sadjadi1Kh. Hassanlou2 Portfolio management is one of the most important areas of research in financial engineering. This paper is concerned with multi period decision problem for financial asset allocation when the rate of borrowing is greater than the rate of lending. Transaction costs as a source of concern for portfolio managers is also considered in this paper. The proposed method of this paper is formulated in a form of dynamic linear programming which is capable of determining the amount of investment in different time periods. The method is also implemented using some numerical examples and the output results are discussed.http://ijiepr.iust.ac.ir/browse.php?a_code=A-10-9-1&slc_lang=en&sid=1multi period portfolio selection Borrowing / Lending transaction cost |
| spellingShingle | S.M. Seyedhosseini S. J. Sadjadi Kh. Hassanlou Multiperiod Portfolio Selection with Different Rates for Borrowing and Lending in Presence of Transaction Costs International Journal of Industrial Engineering and Production Research multi period portfolio selection Borrowing / Lending transaction cost |
| title | Multiperiod Portfolio Selection with Different Rates for Borrowing and Lending in Presence of Transaction Costs |
| title_full | Multiperiod Portfolio Selection with Different Rates for Borrowing and Lending in Presence of Transaction Costs |
| title_fullStr | Multiperiod Portfolio Selection with Different Rates for Borrowing and Lending in Presence of Transaction Costs |
| title_full_unstemmed | Multiperiod Portfolio Selection with Different Rates for Borrowing and Lending in Presence of Transaction Costs |
| title_short | Multiperiod Portfolio Selection with Different Rates for Borrowing and Lending in Presence of Transaction Costs |
| title_sort | multiperiod portfolio selection with different rates for borrowing and lending in presence of transaction costs |
| topic | multi period portfolio selection Borrowing / Lending transaction cost |
| url | http://ijiepr.iust.ac.ir/browse.php?a_code=A-10-9-1&slc_lang=en&sid=1 |
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