haku: @author Maringer, D. G. / yhteensä: 2
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| Tekijä: | Maringer, D. G. |
| Otsikko: | Portfolioselektion bei Transaktionskosten und Ganzzahligkeitsbeschränkungen |
| Lehti: | Zeitschrift für Betriebswirtschaft
2002 : NOV, VOL. 72:11, p. 1155-1176 |
| Asiasana: | PORTFOLIO MANAGEMENT PORTFOLIO SELECTION TRANSACTION COSTS MODELS |
| Kieli: | ger |
| Tiivistelmä: | Whereas standard models for portfolio optimization assume perfect markets, the authors consider non- negativity, non-divisible assets, and variable and/or fixed transaction costs. The authors approach this problem with a search heuristic and find that all of the additional aspects have more or less strong effects on the optimal portfolio structure. It is shown that excluding these aspects might lead to significantly inferior results. In particular, the results indicate that variable transaction costs lead to fewer different assets in the portfolio and that fixed (minimum) transaction costs affect not only investors with low initial endowment. Furthermore, the results show that investors with low initial endowment face disadvantages due to fewer opportunities for diversification merely when transaction costs are fixed (original in German). |
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