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

Matemáticas

• Transaction Costs 100%
• Penalization 82%
• Continuous Time 61%
• Lagrange multipliers 48%
• Market 47%
• Optimization 35%
• Stock Prices 31%
• Proximal Methods 31%
• Arbitrage 31%
• Computing 29%
• Markov Decision Process 28%
• Option Pricing 27%
• Gradient Method 26%
• Discrete-time 19%
• Transform 17%
• Optimization Problem 16%
• Strategy 16%
• Restriction 15%
• Iteration 15%
• Converge 14%
• Numerical Examples 14%
• Necessary Conditions 13%

Ingeniería y ciencia de los materiales

• Lagrange multipliers 42%
• Costs 27%
• Gradient methods 21%
• Iterative methods 19%
• Markov processes 18%