Abstract
Since the seminal work of Markowitz (1952,1959,1987), the mean-variance methodology for the portfolio selection problem has been central to research activities of this area and has a lot of applications during the past four decades. Extensions of the mean-variance theory include all kinds of its derivatives and the capitial asset pricing model. (see, e.g., [Xia, Wang and Deng (1998b)]).
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© 2002 Springer-Verlag Berlin Heidelberg
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Wang, S., Xia, Y. (2002). A Compromise Solution to Mutual Funds Portfolio Selection with Transaction Costs. In: Portfolio Selection and Asset Pricing. Lecture Notes in Economics and Mathematical Systems, vol 514. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-55934-1_3
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DOI: https://doi.org/10.1007/978-3-642-55934-1_3
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-42915-9
Online ISBN: 978-3-642-55934-1
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