Optimal Portfolio Construction with Two-Sided Weight Constraints and Commission

被引：0
|
作者：
Al-Nator M.S. [1 ]
Al-Nator S.V. [1 ]
机构：
[1] Financial University under the Government of the Russian Federation, Moscow
来源：
Journal of Mathematical Sciences | 2020年 / 246卷 / 4期
关键词：
D O I：
10.1007/s10958-020-04751-y
中图分类号：
学科分类号：
摘要：
We consider the optimal portfolio construction problem with two-sided constraints for weights and with commission. The complete algorithmic solution of the problem is given for the Markowitz model (for portfolios without short positions). A heuristic algorithm for solving this problem for the Black’s model (for portfolios with short positions) is proposed. © 2020, Springer Science+Business Media, LLC, part of Springer Nature.
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页码：453 / 459
页数：6
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