UDC 519.864.3
DOI: 10.36871/ek.up.p.r.2024.04.02.017
Authors
Mohammed S. Al-Nator,
Sofya V. Al-Nator,
Financial University under the Government of the Russian Federation, Moscow, Russia
Abstract
In this work the portfolio transactions with commission are investigated. It is shown that for portfolios allowing short positions, the problem of finding an optimal portfolio with a commission is non-smooth. It is also shown that the return of such portfolios is a non-smooth rational and bounded function on the weights themselves and their absolute value. Moreover, the optimal portfolio with commission may differ from the optimal portfolio without commission.
Keywords
portfolio, portfolio return, optimal portfolios, long position, short position, real net return.
