Portfolio Analysis with General Commission
- Авторы: Al-Nator M.1
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Учреждения:
- Financial University under the Government of the Russian Federation
- Выпуск: Том 234, № 6 (2018)
- Страницы: 793-801
- Раздел: Article
- URL: https://journals.rcsi.science/1072-3374/article/view/242005
- DOI: https://doi.org/10.1007/s10958-018-4046-z
- ID: 242005
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Аннотация
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.
Об авторах
M. Al-Nator
Financial University under the Government of the Russian Federation
Автор, ответственный за переписку.
Email: malnator@yandex.ru
Россия, Moscow