A Communication Theoretic Interpretation of Modern Portfolio Theory Including Short Sales, Leverage and Transaction Costs
Modern Portfolio Theory is the ground upon which most works in portfolio optimization context find their foundations. Many studies attempt to extend the Modern Portfolio Theory to include short sale, leverage and transaction costs, features not considered in Markowitz’s seminal work from 1...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2018-12-01
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| Series: | Journal of Risk and Financial Management |
| Subjects: | |
| Online Access: | http://www.mdpi.com/1911-8074/12/1/4 |