Continuous-time mean variance portfolio with transaction costs: a proximal approach involving time penalization

M. GarcĂ­a-Galicia, Alin A. Carsteanu, Julio B. Clempner. Continuous-time mean variance portfolio with transaction costs: a proximal approach involving time penalization. Int. J. General Systems, 48(2):91-111, 2019. [doi]

Abstract

Abstract is missing.