Continuous-time mean-variance portfolio selection with proportional transaction costs

Research output: Journal article publication › Journal article › Academic research › peer-review

Original language	English
Pages (from-to)	96-125
Number of pages	30
Journal	SIAM Journal on Financial Mathematics
Volume	1
Issue number	1
DOIs	https://doi.org/10.1137/080742889
Publication status	Published - 2010

More information

@article{af19f4d2f1f24882aa8b78a585d71ae3,

title = "Continuous-time mean-variance portfolio selection with proportional transaction costs",

author = "Min Dai and Xu, \{Zuo Quan\} and Xunyu Zhou",

year = "2010",

doi = "10.1137/080742889",

language = "English",

volume = "1",

pages = "96--125",

journal = "SIAM Journal on Financial Mathematics",

issn = "1945-497X",

publisher = "Society for Industrial and Applied Mathematics Publications",

number = "1",

}

TY - JOUR

T1 - Continuous-time mean-variance portfolio selection with proportional transaction costs

AU - Dai, Min

AU - Xu, Zuo Quan

AU - Zhou, Xunyu

PY - 2010

Y1 - 2010

U2 - 10.1137/080742889

DO - 10.1137/080742889

M3 - Journal article

SN - 1945-497X

VL - 1

SP - 96

EP - 125

JO - SIAM Journal on Financial Mathematics

JF - SIAM Journal on Financial Mathematics

IS - 1

ER -