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...
| Egile Nagusiak: | , , |
|---|---|
| Formatua: | Journal article |
| Hizkuntza: | English |
| Argitaratua: |
2010
|