Volume 21, Issue 1 (IJIEPR 2010)                   IJIEPR 2010, 21(1): 45-51 | Back to browse issues page

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Multiperiod Portfolio Selection with Different Rates for Borrowing and Lending in Presence of Transaction Costs
S.M. Seyedhosseini 1, S. J. Sadjadi , Kh. Hassanlou
1- , seyedhosseini@iust.ac.ir
Abstract:   (10146 Views)
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 a form of dynamic linear programming which is capable of determining the amount of investment in different time periods. The method is also implemented using some numerical examples and the output results are discussed.
Keywords: multi period portfolio selection, Borrowing / Lending, transaction cost
Full-Text [PDF 727 kb]   (4268 Downloads)    
Type of Study: Research |
Received: 2010/08/25 | Published: 2010/06/15
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