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Cristinca Fulga and Bogdana Pop: Portfolio Selection with Transaction Costs, p.317-330

Abstract:

This paper is concerned with the single-period portfolio that consists of holdings in n risky assets. The goal is to choose the optimal portfolio to maximize the expected value of the end of period wealth in the presence of transaction costs, while satisfying a set of constraints on the portfolio. The case of a portfolio optimization problem with fuzzy transaction costs is also considered.

Key Words: Portfolio optimization, transaction costs, fuzzy portfolio selection model.

2000 Mathematics Subject Classification: Primary: 91B28, Secondary: 90C70.

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