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...
Saved in:
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
2022
|
| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/159367 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Nanyang Technological University |
| Language: | English |