Optimal dynamic mean–variance portfolio subject to proportional transaction costs and no-shorting constraint

• Published in: Automatica (Oxford) Vol. 135; p. 109986
• Main Authors: Pun, Chi Seng, Ye, Zi
• Format: Journal Article
• Language: English
• Published: Elsevier Ltd 01.01.2022
• Subjects: 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

This paper studies mean–variance portfolio selection problem subject to proportional transaction costs and no-shorting constraint. We do not impose any distributional assumptions on the asset returns. By adopting dynamic programming, duality theory, and a comparison approach, we manage to derive a s...