An Approach for a Multi-Period Portfolio Selection Problem by considering Transaction Costs and Prediction on the Stock Market

Table 1

Sets, parameters, and variables for the first proposed model.

	Description
Set
	Available stocks to be included in portfolio.
Parameter
	Number of companies
	Standard deviation of the return’s stock .
	Covariance between stock i and stock
	Future predicted price of the stock for the next week.
	Current price of Stock .
	Expected return for stock .
	Number of stocks to be included
	Risk free rate
	Available budget
	Beta value of stock .
	Covariance between stock and the market.
	Market return variance
	Minimum trade amount
	Transaction cost of the trade amount
	Minimum weight to invest on stock
	Maximum weight to invest on stock
Variable
	Portfolio Sharpe ratio
	Portfolio Treynor ratio
	Stock to hold until the next week.
	Percentage to be invested in each stock .
	Portfolio expected return
	Portfolio standard deviation
	Systematic risk
	Total investment on the portfolio