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The Optimal Portfolio Revision Policy

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  • Chen, Andrew H Y
  • Jen, Frank C
  • Zionts, Stanley
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    File URL: http://links.jstor.org/sici?sici=0021-9398%28197101%2944%3A1%3C51%3ATOPRP%3E2.0.CO%3B2-A&origin=repec
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    Bibliographic Info

    Article provided by University of Chicago Press in its journal Journal of Business.

    Volume (Year): 44 (1971)
    Issue (Month): 1 (January)
    Pages: 51-61

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    Handle: RePEc:ucp:jnlbus:v:44:y:1971:i:1:p:51-61

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    Web page: http://www.journals.uchicago.edu/JB/

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    Cited by:
    1. Andrew Chen & Frank Fabozzi & Dashan Huang, 2012. "Portfolio revision under mean-variance and mean-CVaR with transaction costs," Review of Quantitative Finance and Accounting, Springer, vol. 39(4), pages 509-526, November.
    2. Chiu, Mei Choi & Li, Duan, 2006. "Asset and liability management under a continuous-time mean-variance optimization framework," Insurance: Mathematics and Economics, Elsevier, vol. 39(3), pages 330-355, December.
    3. U. Çakmak & S. Özekici, 2006. "Portfolio optimization in stochastic markets," Computational Statistics, Springer, vol. 63(1), pages 151-168, February.
    4. Yu, Zuwei, 2003. "A spatial mean-variance MIP model for energy market risk analysis," Energy Economics, Elsevier, vol. 25(3), pages 255-268, May.
    5. Markus LEIPPOLD & Fabio TROJANI & Paolo VANINI, 2002. "A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities," FAME Research Paper Series rp48, International Center for Financial Asset Management and Engineering.
    6. Roques, Fabien A. & Newbery, David M. & Nuttall, William J., 2008. "Fuel mix diversification incentives in liberalized electricity markets: A Mean-Variance Portfolio theory approach," Energy Economics, Elsevier, vol. 30(4), pages 1831-1849, July.
    7. Dokuchaev, Nikolai, 2007. "Discrete time market with serial correlations and optimal myopic strategies," European Journal of Operational Research, Elsevier, vol. 177(2), pages 1090-1104, March.
    8. Heping XIONG & Jingming ZHOU, 2013. "On Tobin's Multiperiod Portfolio Theorem," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 199-208, October.
    9. Füss, Roland & Miebs, Felix & Trübenbach, Fabian, 2014. "A jackknife-type estimator for portfolio revision," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 14-28.
    10. 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.

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