WANG, YI; CHEN, ZHIPING; ZHANG, KECUN - In: Asia-Pacific Journal of Operational Research (APJOR) 24 (2007) 04, pp. 535-556
Aimed at better modeling stock returns and finding robustly optimal investment decisions, a new portfolio selection model is proposed in this paper. The model differs from existing ones in following ways: multiple market frictions are taken into account simultaneously; the adopted multivariate...