Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint (Q2059371): Difference between revisions

@@ Property / cites work @@
+Optimal execution with nonlinear impact functions and trading-enhanced risk
+Normal rank
@@ Property / cites work @@
+CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
+Normal rank
@@ Property / cites work @@
+Q4821526
@@ Property / cites work: Q4821526 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Portfolio Selection with Transaction Costs
+Normal rank
@@ Property / cites work @@
+Characterization of Optimal Strategy for Multiasset Investment and Consumption with Transaction Costs
+Normal rank
@@ Property / cites work @@
+Multiperiod Consumption and Investment Behavior with Convex Transactions Costs
+Normal rank
@@ Property / cites work @@
+Optimal multi-period mean-variance policy under no-shorting constraint
+Normal rank
@@ Property / cites work @@
+Cone-constrained continuous-time Markowitz problems
+Normal rank
@@ Property / cites work @@
+Continuous-Time Markowitz's Model with Transaction Costs
+Normal rank
@@ Property / cites work @@
+Portfolio Selection with Transaction Costs
@@ Property / cites work: Portfolio Selection with Transaction Costs / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities
+Normal rank
@@ Property / cites work @@
+Portfolio optimization with transaction costs: a two-period mean-variance model
+Normal rank
@@ Property / cites work @@
+Dynamic portfolio choice with frictions
@@ Property / cites work: Dynamic portfolio choice with frictions / rank @@
+Normal rank
@@ Property / cites work @@
+Investment Strategies under Transaction Costs: The Finite Horizon Case
+Normal rank
@@ Property / cites work @@
+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
+Normal rank
@@ Property / cites work @@
+Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection with random horizon in an incomplete market
+Normal rank
@@ Property / cites work @@
+Dynamic portfolio choice with return predictability and transaction costs
+Normal rank
@@ Property / cites work @@
+Portfolio selection with transactions costs
@@ Property / cites work: Portfolio selection with transactions costs / rank @@
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+<i>G</i>-expected utility maximization with ambiguous equicorrelation
+Normal rank
@@ Property / cites work @@
+A cost-effective approach to portfolio construction with range-based risk measures
+Normal rank
@@ Property / cites work @@
+Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint
+Normal rank
@@ Property / cites work @@
+Multi-period mean-variance portfolio selection with fixed and proportional transaction costs
+Normal rank
@@ Property / cites work @@
+Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
+Normal rank