Multiperiod Portfolio Selection with Differnent Rates for Borrowing and Lending in Presence of Transaciton Costs

Portfolio management is one of the most important areas of research in financial engineering. This paper is concerned with multi period decision problem for financial asset allocation when the rate of borrowing is greater than the rate of lending. Transaction costs as a source of concern for portfolia managers is also considered in this paper. The proposed method of this paper is formulated in a form of dynamic linear programming which is capable of determining the amount of investment in differnt time periods. The method is also implemented using some numerical examples and the output results are discussed.

کلیدواژه ها:

multi period portfolio ، selection ، Borrowing/Lending ، transaction cost