A New Portfolio Rebalancing Model with Transaction Costs
A portfolio rebalancing model with self-finance strategy and consideration of V-shaped transaction cost is presented in this paper. Our main contribution is that a new constraint is introduced to confirm that the rebalance necessity of the existing portfolio needs to be adjusted. The constraint is c...
Main Authors: | Meihua Wang, Cheng Li, Honggang Xue, Fengmin Xu |
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Format: | Article |
Language: | English |
Published: |
Hindawi Limited
2014-01-01
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Series: | Journal of Applied Mathematics |
Online Access: | http://dx.doi.org/10.1155/2014/942374 |
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