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Portfolio Analysis with Transaction Costs Under Uncertainty*

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We obtain explicit formulas for the expected portfolio return and portfolio variance for portfolios with commission, which are in the general case unsmooth rational functions of the absolute value of portfolio weights. We prove that the function of expected portfolio return and portfolio variance function with commission are bounded. Two-asset portfolios with commission are investigated in detail.

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References

  1. Yu. F. Kasimov, M. S. Al-Nator, and S.V. Al-Nator, “Choice of optimal portfolio with transaction costs for one-period deterministic model,” in: Materials XXXI International Seminar on Stability Problems for Stochastic Models [in Russian], IPI RAN, Moscow (2013), pp. 90–93.

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Authors and Affiliations

  1. Financial University under the Government of the Russian Federation, Moscow, Russia

    M. S. Al-Nator, S. V. Al-Nator & Yu. F. Kasimov

Authors
  1. M. S. Al-Nator
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  2. S. V. Al-Nator
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  3. Yu. F. Kasimov
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Corresponding author

Correspondence to M. S. Al-Nator.

Additional information

*This work is supported by the Financial University under the Government of the Russian Federation.

Proceedings of the XXXII International Seminar on Stability Problems for Stochastic Models, Trondheim, Norway, June 16–21, 2014.

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Al-Nator, M.S., Al-Nator, S.V. & Kasimov, Y.F. Portfolio Analysis with Transaction Costs Under Uncertainty*. J Math Sci 214, 12–21 (2016). https://doi.org/10.1007/s10958-016-2754-9

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  • DOI: https://doi.org/10.1007/s10958-016-2754-9

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