Continuous-time markowitz's model with transaction costs

Continuous-time markowitz's model with transaction costs

10.1137/080742889

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Bibliographic Details
Main Authors: Dai, M., Xu, Z.Q., Zhou, X.Y.
Other Authors: MATHEMATICS
Format: Article
Published: 2014
Subjects:
Continuous-time
Double-obstacle problem
Lagrange multiplier
Mean-variance
Planning horizon
Singular stochastic control
Skorokhod problem
Transaction costs
Online Access:http://scholarbank.nus.edu.sg/handle/10635/103061
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Institution: National University of Singapore

Internet

http://scholarbank.nus.edu.sg/handle/10635/103061

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