Portfolio Analysis with General Commission
- 作者: Al-Nator M.1
-
隶属关系:
- Financial University under the Government of the Russian Federation
- 期: 卷 234, 编号 6 (2018)
- 页面: 793-801
- 栏目: Article
- URL: https://journals.rcsi.science/1072-3374/article/view/242005
- DOI: https://doi.org/10.1007/s10958-018-4046-z
- ID: 242005
如何引用文章
详细
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.
作者简介
M. Al-Nator
Financial University under the Government of the Russian Federation
编辑信件的主要联系方式.
Email: malnator@yandex.ru
俄罗斯联邦, Moscow