Optimal dynamic mean–variance portfolio subject to proportional transaction costs and no-shorting constraint

• المؤلفون الرئيسيون: Pun, Chi Seng, Ye, Zi
• مؤلفون آخرون: School of Physical and Mathematical Sciences
• التنسيق: مقال
• اللغة: English
• منشور في: 2022
• الموضوعات: Science::Mathematics; Portfolio Selection; Proportional Transaction Costs
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/159367
• المؤسسة: Nanyang Technological University

This paper studies mean–variance portfolio selection problem subject to proportional transaction costs and no-shorting constraint. We do not impose any distributional assumptions on the asset returns. By adopting dynamic programming, duality theory, and a comparison approach, we manage to derive a s...