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

• Main Authors: Pun, Chi Seng, Ye, Zi
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2022
• Subjects: Science::Mathematics; Portfolio Selection; Proportional Transaction Costs
• Online Access: https://hdl.handle.net/10356/159367
• Institution: 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...