Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint
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Publication:2059371
DOI10.1016/j.automatica.2021.109986zbMath1479.91363OpenAlexW3211187093MaRDI QIDQ2059371
Publication date: 14 December 2021
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2021.109986
portfolio selectionproportional transaction costsembedding techniqueno-shorting constraintdiscrete-time dynamic programming
Related Items (4)
Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency ⋮ Online portfolio selection with state-dependent price estimators and transaction costs ⋮ Equilibrium multi-agent model with heterogeneous views on fundamental risks ⋮ Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint
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