Mean-variance dynamic portfolio allocation with transaction costs : a Wiener chaos expansion approach

Areski Cousin, J. Lelong and T. Picard

Year of publication:	2023
Authors:	Cousin, Areski ; Lelong, J. ; Picard, T.
Subject:	Multi-period portfolio allocation \| mean-variance formulation \| Wiener chaos expansion \| Portfolio-Management \| Portfolio selection \| Transaktionskosten \| Transaction costs \| Chaostheorie \| Chaos theory

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