Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint (Q2059371): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint |
scientific article |
Statements
Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint (English)
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14 December 2021
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portfolio selection
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proportional transaction costs
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no-shorting constraint
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embedding technique
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discrete-time dynamic programming
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