Mean–variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics
Author:
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Mathematics,Software
Link
http://link.springer.com/article/10.1007/s00186-017-0582-4/fulltext.html
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3. Bertsimas D, Lo A (1998) Optimal control of execution costs. J Financ Mark 1:1–50
4. Beutner E (2007) Mean–variance hedging under transaction costs. Math Method Oper Res 65:539–557
5. Cai X, Teo K, Zhou XY (2000) Portfolio optimization under a minimax rule. Manag Sci 46:957–972
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