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

Table 6

Portfolio performance comparison.

t	Real Rmax		Cumulative Rmax		Real Rmax		Cumulative Rmax
	SR 5 (%)	SR 10 (%)	SR 5 (%)	SR 10 (%)	TR 5 (%)	TR 10 (%)	TR 5 (%)	TR 10 (%)
0	−0.15	−0.15	−0.15	−0.15	−0.15	−0.15	−0.15	−0.15
26	9.17	9.02	16.62	21.84	8.03	10.12	6.15	6.63
52	−0.03	−0.01	37.15	41.71	−0.70	−0.58	17.55	12.04
78	2.29	2.16	35.58	42.73	1.28	1.21	13.74	4.88
104	1.92	1.73	44.36	55.06	−0.11	1.32	18.96	8.82
121	1.16	1.15	50.92	60.61	1.96	1.30	22.12	11.09
			Final value				Final value
	0.43	0.50	53.04	62.28	0.18	0.10	22.74	12.56