Optimal dynamic mean–variance portfolio subject to proportional transaction costs and no-shorting constraint - Pun, Chi Seng; Ye, Zi (Automatica (Oxford), 2022)
Keywords: Discrete-time dynamic programming; Embedding technique; No-shorting constraint; Portfolio selection; Proportional transaction costs; Discrete-time dynamic programming; Portfolio selection; Embedding technique; Proportional transaction costs; No-shorting constraint