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"Optimal dynamic mean-variance portfolio subject to proportional ..."

Chi Seng Pun, Zi Ye (2022)

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DOI: 10.1016/J.AUTOMATICA.2021.109986

access: closed

type: Journal Article

metadata version: 2023-09-30

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Chi Seng Pun, Zi Ye:
Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint. Autom. 135: 109986 (2022)

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