Continuous-time mean-variance portfolio selection with proportional transaction costs.
Key Words: continuous-time model, mean-variance, transaction costs, stochastic singular control, Lagrange multiplier method, parabolic free-boundary problem, double-obstacle problem, Skorokhod problem. === We study continuous-time Markowitz's mean-variance portfolio selection problem in a marke...
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| Format: | Others |
| Language: | English Chinese |
| Published: |
2007
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| Online Access: | http://library.cuhk.edu.hk/record=b6074183 http://repository.lib.cuhk.edu.hk/en/item/cuhk-343812 |