Sadjadi, S. J.; Aryanezhad, M. B.; Moghaddam, B. F. - In: Mathematical Methods of Operations Research 60 (2004) 2, pp. 203-214
This paper presents a closed form solution of the mean-variance portfolio selection problem for uncorrelated assets that precludes short sells. We also study the problem with the consideration of transaction cost. When the asset holding can be explicitly become available, one can have a better...