The number of securities giving the maximum return in the presence of transaction costs

The number of securities giving the maximum return in the presence of transaction costs An essential element of any realistic investment portfolio selection is the consideration of transaction costs. Our purpose, in this paper, is to determine the maximum return and the corresponding number of securities to buy giving such return, whenever practical constraints features related to budget, buy-in thresholds, and transaction costs are taken into consideration. Dealing with the portfolio selection and optimization problem in the point of view of individual investors, we will arrive to get an analytic result, leading to a new and simple alternative solution to heuristic algorithms. Moreover, this result can be considered as another approach to integer optimization. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Quality & Quantity Springer Journals

The number of securities giving the maximum return in the presence of transaction costs

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Publisher
Springer Netherlands
Copyright
Copyright © 2007 by Springer Science + Business Media B.V.
Subject
Social Sciences; Methodology of the Social Sciences; Social Sciences, general
ISSN
0033-5177
eISSN
1573-7845
D.O.I.
10.1007/s11135-007-9126-y
Publisher site
See Article on Publisher Site

Abstract

An essential element of any realistic investment portfolio selection is the consideration of transaction costs. Our purpose, in this paper, is to determine the maximum return and the corresponding number of securities to buy giving such return, whenever practical constraints features related to budget, buy-in thresholds, and transaction costs are taken into consideration. Dealing with the portfolio selection and optimization problem in the point of view of individual investors, we will arrive to get an analytic result, leading to a new and simple alternative solution to heuristic algorithms. Moreover, this result can be considered as another approach to integer optimization.

Journal

Quality & QuantitySpringer Journals

Published: Sep 29, 2007

References

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