Portfolio Revision under Mean-Variance and Mean-CVaR with Transaction Costs
Publication Type
Journal Article
Publication Date
11-2012
Abstract
The portfolio revision process usually begins with a portfolio of assets rather than cash. As a result, some assets must be liquidated to permit investment in other assets, incurring transaction costs that should be directly integrated into the portfolio optimization problem. This paper discusses and analyzes the impact of transaction costs on the optimal portfolio under mean-variance and mean-conditional value-at-risk strategies. In addition, we present some analytical solutions and empirical evidence for some special situations to understand the impact of transaction costs on the portfolio revision process.
Keywords
Portfolio revision, Transaction costs, Mean-variance, Conditional value-at-risk (CVaR)
Discipline
Finance and Financial Management | Portfolio and Security Analysis
Research Areas
Finance
Publication
Review of Quantitative Finance and Accounting
Volume
39
Issue
4
First Page
509
Last Page
526
ISSN
0924-865X
Identifier
10.1007/s11156-012-0292-1
Publisher
Springer Verlag (Germany)
Citation
CHEN, Andrew; FABOZZI, Frank; and Dashan HUANG.
Portfolio Revision under Mean-Variance and Mean-CVaR with Transaction Costs. (2012). Review of Quantitative Finance and Accounting. 39, (4), 509-526.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/4785
Additional URL
https://doi.org/10.1007/s11156-012-0292-1