Norio, Hibiki; Rei, Yamamoto - In: Asia-Pacific Journal of Risk and Insurance 8 (2014) 2, pp. 35-35
There are many studies of optimal asset allocation with transaction costs in academic literatures. However, those are numerically solved for two-asset and three-asset cases. In contrast, the investment in five-asset classes (domestic bond and stock, international bond and stock, and cash) is at...