Optimal dynamic mean–variance portfolio subject to proportional transaction costs and no-shorting constraint
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...
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| Main Authors: | , |
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| 其他作者: | |
| 格式: | Article |
| 語言: | English |
| 出版: |
2022
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| 主題: | |
| 在線閱讀: | https://hdl.handle.net/10356/159367 |
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