Mean-ETL Portfolio Selection under Maximum Weight and Turnover Constraints Based on Fundamental Security Factors

Naoshi Tsuchida; Xiaoping Zhou; Svetlozar Rachev

doi:10.3905/joi.2012.21.1.014

Mean-ETL Portfolio Selection under Maximum Weight and Turnover Constraints Based on Fundamental Security Factors

Naoshi Tsuchida, Xiaoping Zhou and Svetlozar Rachev

The Journal of Investing Spring 2012, 21 (1) 14-24; DOI: https://doi.org/10.3905/joi.2012.21.1.014

Naoshi Tsuchida

is a graduate student in the Department of Applied Mathematics at Stony Brook University in Stony Brook, NY.

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For correspondence: tsuchida.1981.naoshi@gmail.com

Xiaoping Zhou

is a graduate student in the Department of Applied Mathematics at Stony Brook University in Stony Brook, NY.

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For correspondence: zxp567@gmail.com

Svetlozar Rachev

is a professor in the Department of Applied Mathematics and the Frey Family Foundation Chair for Quantitative Finance at Stony Brook University in Stony Brook, NY.

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For correspondence: rachev@ams.sunysb.edu

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Spring 2012

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Mean-ETL Portfolio Selection under Maximum Weight and Turnover Constraints Based on Fundamental Security Factors