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An Empirical Research About the Influence of VaR Constraint,Transaction Costs and Dependence Structure on Portfolio Optimization

Han Zhao-zhou

Abstract

This paper develops a new model of portfolio optimization,which takes account of the transaction costs,allows investing the risk-free assets and pursues the expected wealth maximization.Furthermore,it studies the Influence of VaR constraint,transaction costs and dependence structure on portfolio optimization

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Available abstract

Key concepts: Transaction cost, Portfolio optimization, Constraint (computer-aided design), Portfolio, Maximization, Database transaction, Econometrics, Utility maximization problem