Kh. Hassanlou

[ 1 ] - Multiperiod Portfolio Selection with Different Rates for Borrowing and Lending in Presence of Transaction Costs

Portfolio management is one of the most important areas of research in financial engineering. This paper is concerned with multi period decision problem for financial asset allocation when the rate of borrowing is greater than the rate of lending. Transaction costs as a source of concern for portfolio managers is also considered in this paper. The proposed method of this paper is formulated in ...