Optimal portfolio selection of assets with transaction costs and no short sales

In this paper we study the optimal portfolio selection problem for assets. A double-objective programming model is first formulated for selecting opti mal portfolios of asserts with transaction costs and taxes, where short sal es and borrowings are not allowed. Some properties of efficient portfolios and the efficient frontier to the model are then derived. Based on these re sults, an interactive method that requires only paired preference compariso n from the investor is established for solving the optimal portfolio select ion problem. A numerical example is also presented to illustrate this metho d.