TwoMethodsforPortfolioSelectionwithTransactionCosts.pptVIP

2004-6-18 Portfolio Selection Some Progress in Portfolio Selection Shou-Yang Wang Institute of Systems Science Academy of Mathematics and Systems Science Chinese Academy of Sciences Email: sywang@amss.ac.cn Contents Introduction Problem and Basic Model Two Methods Three Trends and Model Extensions Discussions 1 Introduction Mean-variance methodology by Markowitz (1952,1959,1987) expected return: R(x)= ∑nj=1 Rixi variance: V(x) = ?2 (x) = ∑nj=1 ?ij xi xj maximize R(x) minimize V(x) subject to V(x) ≤ ? subject to R(