Continuous-Time Markowitz's Model with Transaction Costs

DOI10.1137/080742889zbMath1187.93139arXiv0906.0678MaRDI QIDQ3402361

Min Dai, Zuo Quan Xu, Xun Yu Zhou

Publication date: 3 February 2010

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0906.0678

zbMATH Keywords

Lagrange multiplier; Skorokhod problem; transaction costs; singular stochastic control; mean-variance; continuous-time; planning horizon; double-obstacle problem

Mathematics Subject Classification ID

47J20: Variational and other types of inequalities involving nonlinear operators (general)

49L20: Dynamic programming in optimal control and differential games

93E20: Optimal stochastic control

91G10: Portfolio theory

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