An Extension of the Markowitz Portfolio Selection Model to Include Variable Transactions' Costs, Short Sales, Leverage Policies and Taxes
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Bibliographic InfoArticle provided by American Finance Association in its journal Journal of Finance.
Volume (Year): 25 (1970)
Issue (Month): 5 (December)
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- Yu, Zuwei, 2003. "A spatial mean-variance MIP model for energy market risk analysis," Energy Economics, Elsevier, vol. 25(3), pages 255-268, May.
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NBER Working Papers
14525, National Bureau of Economic Research, Inc.
- Woodside-Oriakhi, M. & Lucas, C. & Beasley, J.E., 2013. "Portfolio rebalancing with an investment horizon and transaction costs," Omega, Elsevier, vol. 41(2), pages 406-420.
- Tarrazo, Manuel, 1997. "An application of fuzzy set theory to the individual investor problem," Financial Services Review, Elsevier, vol. 6(2), pages 97-107.
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