Sökning: "Alan Braun"

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  1. 1. On Portfolio Optimization: The Benefits of Constraints in the Presence of Transaction Costs

    Kandidat-uppsats, Uppsala universitet/Nationalekonomiska institutionen

    Författare :Alan Ramilton; [2014]
    Nyckelord :Portfolio Optimization; Transaction Costs; Holding Constraints; Turnover Constraints; Investment Strategy; Portfolio Rebalancing Model;

    Sammanfattning : Most studies view transaction costs and constraints separate in the mean-variance framework. As such, I evaluate the benefits of holding and turnover constraints in the presence of transaction costs on Swedish Asset Returns. In theory, the benefits should be limited when transaction costs are included in the portfolio rebalancing problem. LÄS MER