In this work, we consider the optimal portfolio selection problem under hard constraints on trading amounts, transaction costs and different rates for borrowing and lending when the risky asset returns are serially correlated. No assumptions about the correlation structure between different time...

In this work, we consider the optimal portfolio selection problem under hard constraints on trading amounts, transaction costs and different rates for borrowing and lending when the dynamics of the risky asset returns are governed by a discrete-time approximation of the Markov-modulated...