Numerical method for optimal porffofio selection in stock market with frictions
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    Abstract:

    There are frictions in real stock market such as transaction costs and taxes, etc. The optimal portfolio selection should be affected by market frictions definitely. In this paper, we took the maximum utility of the investor as the objective function and we presented an infeasible interior point algorithm for quadratic programming to solve the proposed model. The optimal solution and the steps of applied algorithm were presented also

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