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dc.contributor.authorLajili, Souad
HAL ID: 743949
dc.contributor.authorRakotondratsimba, Yves
dc.date.accessioned2014-03-05T09:33:36Z
dc.date.available2014-03-05T09:33:36Z
dc.date.issued2008
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/12813
dc.language.isoenen
dc.subjectTransaction costsen
dc.subjectPortfolio selectionen
dc.subjectReturn optimizationen
dc.subject.ddc332en
dc.subject.classificationjelG24en
dc.subject.classificationjelC61en
dc.subject.classificationjelD23en
dc.subject.classificationjelG11en
dc.titleThe number of securities giving the maximum return in the presence of transaction costsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenAn 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.en
dc.relation.isversionofjnlnameQuality and Quantity
dc.relation.isversionofjnlvol42en
dc.relation.isversionofjnlissue5en
dc.relation.isversionofjnldate2008
dc.relation.isversionofjnlpages613-644en
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/s11135-007-9126-yen
dc.relation.isversionofjnlpublisherSpringeren
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen


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