Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint
type: Item
instance of: scholarly article
title: Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint
zbMATH Open document ID: 1479.91363
author: Chi Seng Pun
author: Zi Ye
published in: Automatica
publication date: 2021-12-14T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 90C39
zbMATH DE Number: 7444314
zbMATH Keywords: portfolio selection
zbMATH Keywords: proportional transaction costs
zbMATH Keywords: no-shorting constraint
zbMATH Keywords: embedding technique
zbMATH Keywords: discrete-time dynamic programming
MaRDI profile type: Publication
full work available at URL: j.automatica.2021.109986
OpenAlex ID: W3211187093
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DOI: 10.1016/J.AUTOMATICA.2021.109986
description: scientific article; zbMATH DE number 7444314