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...
| 主要な著者: | , , |
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| フォーマット: | Journal article |
| 言語: | English |
| 出版事項: |
2010
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