Continuous-time markowitz's model with transaction costs
10.1137/080742889
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sg-nus-scholar.10635-1030612023-09-03T21:44:20Z Continuous-time markowitz's model with transaction costs Dai, M. Xu, Z.Q. Zhou, X.Y. MATHEMATICS Continuous-time Double-obstacle problem Lagrange multiplier Mean-variance Planning horizon Singular stochastic control Skorokhod problem Transaction costs 10.1137/080742889 SIAM Journal on Financial Mathematics 1 1 96-125 2014-10-28T02:32:53Z 2014-10-28T02:32:53Z 2010 Article Dai, M., Xu, Z.Q., Zhou, X.Y. (2010). Continuous-time markowitz's model with transaction costs. SIAM Journal on Financial Mathematics 1 (1) : 96-125. ScholarBank@NUS Repository. https://doi.org/10.1137/080742889 1945497X http://scholarbank.nus.edu.sg/handle/10635/103061 000208691600006 Scopus |
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Continuous-time Double-obstacle problem Lagrange multiplier Mean-variance Planning horizon Singular stochastic control Skorokhod problem Transaction costs |
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Continuous-time Double-obstacle problem Lagrange multiplier Mean-variance Planning horizon Singular stochastic control Skorokhod problem Transaction costs Dai, M. Xu, Z.Q. Zhou, X.Y. Continuous-time markowitz's model with transaction costs |
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10.1137/080742889 |
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MATHEMATICS |
| author_facet |
MATHEMATICS Dai, M. Xu, Z.Q. Zhou, X.Y. |
| format |
Article |
| author |
Dai, M. Xu, Z.Q. Zhou, X.Y. |
| author_sort |
Dai, M. |
| title |
Continuous-time markowitz's model with transaction costs |
| title_short |
Continuous-time markowitz's model with transaction costs |
| title_full |
Continuous-time markowitz's model with transaction costs |
| title_fullStr |
Continuous-time markowitz's model with transaction costs |
| title_full_unstemmed |
Continuous-time markowitz's model with transaction costs |
| title_sort |
continuous-time markowitz's model with transaction costs |
| publishDate |
2014 |
| url |
http://scholarbank.nus.edu.sg/handle/10635/103061 |
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