论文信息 - Portfolio Optimization Model with Transaction Costs

Portfolio Optimization Model with Transaction Costs

The purpose of the article is to formulate, under the l∞ risk measure, a model of portfolio selection with transaction costs and then investigate the optimal strategy within the proposed. The characterization of a optimal strategy and the efficient algorithm for finding the optimal strategy are given.

Sheng-hong Li | Shu-ping Chen | Chong Li | Xiong-wei Wu

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