4.0 Article

Continuous-Time Markowitz's Model with Transaction Costs

Related references

Note: Only part of the references are listed.
Article Mathematics

Finite-horizon optimal investment with transaction costs: A parabolic double obstacle problem

Min Dai et al.

JOURNAL OF DIFFERENTIAL EQUATIONS (2009)

Article Automation & Control Systems

FINITE HORIZON OPTIMAL INVESTMENT AND CONSUMPTION WITH TRANSACTION COSTS

Min Dai et al.

SIAM JOURNAL ON CONTROL AND OPTIMIZATION (2009)

Article Business, Finance

Behavioral portfolio selection in continuous time

Hanqing Jin et al.

MATHEMATICAL FINANCE (2008)

Article Statistics & Probability

Continuous-time mean-variance efficiencythe 80% rule

Xun Li et al.

ANNALS OF APPLIED PROBABILITY (2006)

Article Business, Finance

Mean-variance portfolio choice: Quadratic partial hedging

JM Xia

MATHEMATICAL FINANCE (2005)

Article Business, Finance

Continuous-time mean-variance portfolio selection with bankruptcy prohibition

TR Bielecki et al.

MATHEMATICAL FINANCE (2005)

Article Operations Research & Management Science

Quadratic hedging and mean-variance portfolio selection with random parameters in an incomplete market

AEB Lim

MATHEMATICS OF OPERATIONS RESEARCH (2004)

Article Business, Finance

Optimal portfolio selection with transaction costs and finite horizons

H Liu et al.

REVIEW OF FINANCIAL STUDIES (2002)

Article Operations Research & Management Science

Mean-variance portfolio selection with random parameters in a complete market

AEB Lim et al.

MATHEMATICS OF OPERATIONS RESEARCH (2002)

Article Mathematics, Applied

Continuous-time mean-variance portfolio selection: A stochastic LQ framework

XY Zhou et al.

APPLIED MATHEMATICS AND OPTIMIZATION (2000)

Article Business, Finance

Optimal dynamic portfolio selection: Multiperiod mean-variance formulation

D Li et al.

MATHEMATICAL FINANCE (2000)