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Continuous-time mean variance portfolio with transaction costs: a proximal approach involving time penalization.
Mauricio García-Galicia
Alin A. Carsteanu
Julio B. Clempner
Published in:
Int. J. Gen. Syst. (2019)
Keyphrases
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transaction costs
portfolio selection
portfolio management
portfolio optimization
stock exchange
search costs
optimal portfolio
investment strategies
stock market
machine learning
robust optimization
transaction cost economics
financial markets
markov chain
state space
multi objective
objective function