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: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Iran University of Science & Technology
2010-06-01
|
| 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 |