Home  Journals  Finance and Credit  13(541) - 2013 April

Choice of investment portfolio, taking into account asymmetry of distribution of profitability and transaction expenses

Available online: 4 April 2013

Subject Heading: INVESTMENTS

JEL Classification: 

In the article it is noted that G. Markovits's classical model for a choice of an investment portfolio doesn't consider transaction expenses and preferences of the investor concerning positive asymmetry of profitability of a portfolio. The mathematical model which is including these factors and not leading to difficult calculations is offered. Applicability of model to stock market of Russia is shown.

Keywords: portfolio selection, transaction costs, skewers of distribution function, particle swarm optimization

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ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

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