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

Author(s)
Pogue, G. A.
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Description
Based on the earlier paper, Portfolio selection, in the Journal of finance.
Date issued
1969
URI
http://hdl.handle.net/1721.1/47698
Publisher
[Cambridge, M.I.T.]
Other identifiers
extensionofmarko1969pogu
Series/Report no.
Working paper (Sloan School of Management) ; 388-69A.
Keywords
Portfolio management, Mathematical models.
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