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A Transition Model For Portfolio Revision

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  • Keith V. Smith

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  • Keith V. Smith, 1967. "A Transition Model For Portfolio Revision," Journal of Finance, American Finance Association, vol. 22(3), pages 425-439, September.
  • Handle: RePEc:bla:jfinan:v:22:y:1967:i:3:p:425-439
    DOI: j.1540-6261.1967.tb02978.x
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    File URL: http://hdl.handle.net/10.1111/j.1540-6261.1967.tb02978.x
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    Cited by:

    1. Sun, Yufei & Aw, Grace & Loxton, Ryan & Teo, Kok Lay, 2017. "Chance-constrained optimization for pension fund portfolios in the presence of default risk," European Journal of Operational Research, Elsevier, vol. 256(1), pages 205-214.
    2. John Lintner, 1972. "Finance and Capital Markets," NBER Chapters,in: Economic Research: Retrospect and Prospect, Volume 2, Finance and Capital Markets, pages 1-53 National Bureau of Economic Research, Inc.
    3. Leippold, Markus & Trojani, Fabio & Vanini, Paolo, 2004. "A geometric approach to multiperiod mean variance optimization of assets and liabilities," Journal of Economic Dynamics and Control, Elsevier, vol. 28(6), pages 1079-1113, March.
    4. Dokuchaev, Nikolai, 2010. "Optimality of myopic strategies for multi-stock discrete time market with management costs," European Journal of Operational Research, Elsevier, vol. 200(2), pages 551-556, January.
    5. Zhang, Xili & Zhang, Weiguo & Xiao, Weilin, 2013. "Multi-period portfolio optimization under possibility measures," Economic Modelling, Elsevier, vol. 35(C), pages 401-408.
    6. Alexandra Rodkina & Nikolai Dokuchaev, 2014. "On asymptotic optimality of Merton's myopic portfolio strategies for discrete time market," Papers 1403.4329, arXiv.org, revised Nov 2014.
    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. Reuven Glick, 1984. "The Geometry Of Asset Adjustment With Adjustment Costs," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 7(4), pages 303-314, December.

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