Continuous-time markowitz's model with transaction costs

• 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
• Institution: National University of Singapore

10.1137/080742889