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Stochastic mean absolute deviation model with random transaction costs: securities from the Johannesburg stock market

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dc.contributor.author Mushori, S.
dc.contributor.author Chikobvu, D
dc.date.accessioned 2018-08-29T05:33:25Z
dc.date.available 2018-08-29T05:33:25Z
dc.date.issued 2016
dc.identifier.issn 1745-7645
dc.identifier.issn 1745-7653
dc.identifier.uri http://hdl.handle.net/11462/1591
dc.description Published Article en_US
dc.description.abstract We propose a multi-stage stochastic mean absolute deviation model with random transaction costs in optimal portfolio selection. We take implicit costs incurred in trading as our transaction costs. The multi-stage stochastic model captures risk due to uncertainty, as well as implicit transaction costs incurred by an investor during initial trading and subsequent rebalancing of the portfolio. We apply the model to securities on the Johannesburg stock market and find out that implicit transaction costs are at least 14.3% of returns on investment. en_US
dc.format.extent 290 007 bytes, 1 file
dc.format.mimetype Application/PDF
dc.language.iso en_US en_US
dc.publisher International Journal of Operational Research en_US
dc.relation.ispartofseries Vol. 26,;No. 2,
dc.subject stochastic mean absolute deviation en_US
dc.subject random transaction costs en_US
dc.subject uncertainty en_US
dc.subject stochastic programming en_US
dc.subject portfolio rebalancing en_US
dc.title Stochastic mean absolute deviation model with random transaction costs: securities from the Johannesburg stock market en_US
dc.type Article en_US


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