mean-variance optimization model with transaction costs

Anonymous
timer Asked: Jan 28th, 2021

Question Description

I'm working on a risk management exercise and need an explanation to help me study.

Start from the mean-variance optimization model with transaction costs in the book of Zenios, (3.41)-(3.45). Extend this model to the case when there are three cost regimes: - fixed fee c0 for the asset holdings up to xi0 - proportional fee c1 for the

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1. Start from the above model. Extend this model to the case when there are three cost regimes: - fixed fee c0 for the asset holdings up to xi0 - proportional fee c1 for the part of the holding which exceeds xi0 but less than xi1 - proportional fee c2 for the part of the holding which exceeds xi2 consider cases when c1c2 ...
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