On Portfolio Optimization: The Benefits of Constraints in the Presence of Transaction Costs
Most studies view transaction costs and constraints separate in the mean-variance framework. As such, I evaluate the benefits of holding and turnover constraints in the presence of transaction costs on Swedish Asset Returns. In theory, the benefits should be limited when transaction costs are includ...
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| Format: | Others |
| Language: | English |
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Uppsala universitet, Nationalekonomiska institutionen
2014
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-226818 |