Multi-Period Markowitz Model and Optimal Self-Financing Strategy with Commission

Author:

Al-Nator M. S.,Al-Nator S.V.,Kasimov Y. F.

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,General Mathematics,Statistics and Probability

Reference33 articles.

1. M. Akian, J. Menaldi, and A. Sulem, “On an investment-consumption model with transaction costs,” J. Control Optim., 34, No. 1, 329–364 (1996).

2. M. S. Al-Nator, S.V. Al-Nator, and Yu.F. Kasimov, “Portfolio analysis with transaction costs under uncertainty,” J. Math. Sci., 214, 12–21 (2016).

3. M. S. Al-Nator, “Portfolio analysis with general commission,” J. Math. Sci., 234, 793–801 (2018).

4. M. S. Al-Nator, “On the choice of an optimal portfolio with commission for the Markowitz model,” in: Materials of Conference on Information and Telecommunication Technologies and Mathematical Simulation of Hi-Tech Systems, Peoples’ Friendship University of Russia, Russia, Moscow (2016), pp. 214–216.

5. M. S.Al-Nator and S.V.Al-Nator, “Analysis of two-dimensional portfolios with commission under uncertainty,” in: Materials of Conference on Information and Telecommunication Technologies and Mathematical Simulation of Hi-Tech Systems, Peoples’ Friendship University of Russia, Russia, Moscow (2016), pp. 217–219.

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