"Continuous-time mean variance portfolio with transaction costs: a proximal ..."

Mauricio García-Galicia, Alin A. Carsteanu, Julio B. Clempner (2019)

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DOI: 10.1080/03081079.2018.1522306

access: closed

type: Journal Article

metadata version: 2022-06-23

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Mauricio García-Galicia, Alin A. Carsteanu, Julio B. Clempner:
Continuous-time mean variance portfolio with transaction costs: a proximal approach involving time penalization. Int. J. Gen. Syst. 48(2): 91-111 (2019)

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