An essential element of any realistic investment portfolio selection is the consideration of transaction costs. Our purpose, in this paper, is to determine the maximum return and the corresponding number of securities to buy giving such return, whenever practical constraints features related to...

Various results in economical and financial literature are built without taking into consideration market frictions. For instance, many of the well-known results on asset return structures and distributions do not involve the transaction costs. However any investor is aware that the indexes or...

The transaction costs applied by various european online brokers are now given by piecewise affine functions. So it is interesting to analyze the behaviour of any portfolio in this market context. Our purpose in this work is to determine the expected value and variance of a portfolio return...

Let us consider a portfolio made by a risky asset and cash. Any (individual) investor in such a portfolio is faced with two problems. She may ask about the possible returns whenever the asset relative change is expected to vary inside a given interval. Conversely, she might lead to determine the...