IDEAS home Printed from https://ideas.repec.org/a/bla/jfinan/v25y1970i5p1005-27.html
   My bibliography  Save this article

An Extension of the Markowitz Portfolio Selection Model to Include Variable Transactions' Costs, Short Sales, Leverage Policies and Taxes

Author

Listed:
  • Pogue, G A

Abstract

No abstract is available for this item.

Suggested Citation

  • Pogue, G A, 1970. "An Extension of the Markowitz Portfolio Selection Model to Include Variable Transactions' Costs, Short Sales, Leverage Policies and Taxes," Journal of Finance, American Finance Association, vol. 25(5), pages 1005-1027, December.
  • Handle: RePEc:bla:jfinan:v:25:y:1970:i:5:p:1005-27
    as

    Download full text from publisher

    File URL: http://links.jstor.org/sici?sici=0022-1082%28197012%2925%3A5%3C1005%3AAEOTMP%3E2.0.CO%3B2-%23&origin=repec
    File Function: full text
    Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Fair, Ray C, 1978. "The Sensitivity of Fiscal Policy Effects to Assumptions about the Behavior of the Federal Reserve," Econometrica, Econometric Society, pages 1165-1179.
    2. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    3. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
    4. Shiller, Robert J, 1973. "Rational Expectations and the Term Structure of Interest Rates: Comment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 5(3), pages 856-860, August.
    5. Feldstein, Martin S & Eckstein, Otto, 1970. "The Fundamental Determinants of the Interest Rate," The Review of Economics and Statistics, MIT Press, vol. 52(4), pages 363-375, November.
    6. Jacobs, Rodney L & Leamer, Edward E & Ward, Michael P, 1979. "Difficulties with Testing for Causation," Economic Inquiry, Western Economic Association International, vol. 17(3), pages 401-413, July.
    7. Modigliani, Franco & Shiller, Robert J, 1973. "Inflation, Rational Expectations and the Term Structure of Interest Rates," Economica, London School of Economics and Political Science, vol. 40(157), pages 12-43, February.
    8. John A. Carlson, 1977. "A Study of Price Forecasts," NBER Chapters,in: Annals of Economic and Social Measurement, Volume 6, number 1, pages 27-56 National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Walter Briec & Kristiaan Kerstens & Octave Jokung, 2007. "Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach," Management Science, INFORMS, pages 135-149.
    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. Yu, Zuwei, 2003. "A spatial mean-variance MIP model for energy market risk analysis," Energy Economics, Elsevier, vol. 25(3), pages 255-268, May.
    4. Briec, Walter & Oms, Laurence & Paget-Blanc, Eric, 2014. "Shortage function and portfolio selection: On some special cases and extensions," Finance Research Letters, Elsevier, vol. 11(3), pages 295-302.
    5. Tarrazo, Manuel, 1997. "An application of fuzzy set theory to the individual investor problem," Financial Services Review, Elsevier, vol. 6(2), pages 97-107.
    6. Richard C. Burgess & Maurry J. Tamarkin, 1982. "Regulatory Influences On Portfolio Performance: Short Selling And Regulation T," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 5(1), pages 39-54, March.
    7. Fang, Yong & Lai, K.K. & Wang, Shou-Yang, 2006. "Portfolio rebalancing model with transaction costs based on fuzzy decision theory," European Journal of Operational Research, Elsevier, vol. 175(2), pages 879-893, December.
    8. Thomas J. Brennan & Andrew W. Lo, 2010. "Impossible Frontiers," Management Science, INFORMS, pages 905-923.
    9. 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.
    10. Trabelsi, Mohamed Ali, 2010. "Choix de portefeuille: comparaison des différentes stratégies
      [Portfolio selection: comparison of different strategies]
      ," MPRA Paper 82946, University Library of Munich, Germany, revised 01 Dec 2010.
    11. 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.
    12. Anand, Abhinav & Li, Tiantian & Kurosaki, Tetsuo & Kim, Young Shin, 2016. "Foster–Hart optimal portfolios," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 117-130.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jfinan:v:25:y:1970:i:5:p:1005-27. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: http://edirc.repec.org/data/afaaaea.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.