Continuous-time markowitz's model with transaction costs

Continuous-time markowitz's model with transaction costs

A continuous-time Markowitz's mean-variance portfolio selection problem is studied in a market with one stock, one bond, and proportional transaction costs. This is a singular stochastic control problem, inherently with a finite time horizon. Via a series of transformations, the problem is turn...

Cur síos iomlán

Sonraí bibleagrafaíochta
Príomhchruthaitheoirí:	Dai, M, Xu, Z, Zhou, X
Formáid:	Journal article
Teanga:	English
Foilsithe / Cruthaithe:	2010

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