Mean-variance Dynamic Portfolio Allocation with Transaction Costs: A Wiener Chaos Expansion Approach-Reference-Cited by-同舟云学术

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Mean-variance Dynamic Portfolio Allocation with Transaction Costs: A Wiener Chaos Expansion Approach

Published:2024-08-07 Issue: Volume: Page:1-41
ISSN:1350-486X
Container-title:Applied Mathematical Finance
language:en
Short-container-title:Applied Mathematical Finance

Author:

Cousin Areski¹,Lelong J.²,Picard T.³⁴

Affiliation:

1. Institut de Recherche en Mathématique Avancée, Université de Strasbourg, Strasbourg, Cedex, France

2. LJK, Univ. Grenoble Alpes, CNRS, Grenoble INP, LJK, Grenoble, France

3. LJK, Univ. Grenoble Alpes, LJK, Grenoble, France

4. Nexialog, Paris, France

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/1350486X.2024.2357200

Reference53 articles.

1. A Discrete-Time Clark–Ocone Formula and its Application to an Error Analysis

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

3. Dynamic Portfolio Optimization in Discrete-Time with Transaction Costs

4. Deep Neural Networks Algorithms for Stochastic Control Problems on Finite Horizon: Numerical Applications;Bachouch A.;Methodology and Computing in Applied Probability,2021

5. Dynamic Asset Allocation in a Mean-Variance Framework

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