Portfolio Analysis with General Commission
- Authors: Al-Nator M.S.1
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Affiliations:
- Financial University under the Government of the Russian Federation
- Issue: Vol 234, No 6 (2018)
- Pages: 793-801
- Section: Article
- URL: https://journals.rcsi.science/1072-3374/article/view/242005
- DOI: https://doi.org/10.1007/s10958-018-4046-z
- ID: 242005
Cite item
Abstract
The well-known problem of finding explicit formulas for the expected return and risk of portfolios with general commission is completely solved. It is assumed that the commission depends on the asset and the asset position, and on whether the given position is opened or closed. For portfolios with only the budget constraint and initial commission, we prove that the function of expected portfolio return and portfolio variance function are bounded.
About the authors
M. S. Al-Nator
Financial University under the Government of the Russian Federation
Author for correspondence.
Email: malnator@yandex.ru
Russian Federation, Moscow