The purpose of the article is to formulate, under the ∞ risk measure, a model of portfolio selection with transaction costs and then investigate the optimal strategy within the proposed. The characterization of a opt...The purpose of the article is to formulate, under the ∞ risk measure, a model of portfolio selection with transaction costs and then investigate the optimal strategy within the proposed. The characterization of a optimal strategy and the efficient algorithm for finding the optimal strategy are given.展开更多
基金Supported by the National Natural Sciences Foundation of China.
文摘The purpose of the article is to formulate, under the ∞ risk measure, a model of portfolio selection with transaction costs and then investigate the optimal strategy within the proposed. The characterization of a optimal strategy and the efficient algorithm for finding the optimal strategy are given.
