An extension of the Markowitz portfolio selection model to include variable transactions' costs, short sales, leverage policies and taxes.

Name

extensionofmarko1969pogu.pdf

Size

1.92 MB

Format

Adobe PDF

Checksum (MD5)

d344a46d5471ab48ef13ae1f1decb920

Author(s)

Pogue, G. A.

Date Issued

1969

Publisher

[Cambridge, M.I.T.]

Series/Report no.

Working paper (Sloan School of Management) ; 388-69A.

Description

Based on the earlier paper, Portfolio selection, in the Journal of finance.

Subjects

Portfolio management

Mathematical models.

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