The optimal strategy of portfolio selection with transaction costs

This paper describes an optimal strategy for portfolio selection, which is formulated as a bi-objective model with the transaction costs. The solution of bi-objective model is discussed under three conditions, which is "limited risk" "limited return" and "the tradeoff". The corresponding optimal strategy of portfolio selection is derived respectively under different conditions. In contrast to earlier results the proposed strategies are more convenient in practice. Furthermore, the optimal strategies of portfolio selection are explained by instance.