This book contains an introduction to the mathematical theory of financial markets with
proportional transaction costs. Traditionally, a theoretical analysis of models with market …

The traditional estimated return for the Markowitz mean‐variance optimization has been
demonstrated to seriously depart from its theoretic optimal return. We prove that this …

We consider the problem of dynamic portfolio optimization in a discrete-time, finite-horizon
setting. Our general model considers risk aversion, portfolio constraints (eg, no short …

Parity encoded redundant disk arrays provide highly reliable, cost effective secondary
storage with high performance for read accesses and large write accesses. Their …

Purpose–The purpose of this paper is to propose a theoretically sound and empirically
tested classification system composed of purchasing strategic categories as a basis for …

Research summary: T he dominant view has been that businesses that are more related to
each other are more often combined within diversified firms. This study uses a dynamic …

This review is an introduction to asymptotic methods for portfolio choice problems with small
transaction costs. We outline how to derive the corresponding dynamic programming …

We analyze the optimal portfolio policy for a multiperiod mean–variance investor facing
multiple risky assets in the presence of general transaction costs. For proportional …

We prove that the portfolio problem with transaction costs is equivalent to three different
problems designed to alleviate the impact of estimation error: a robust portfolio optimization …

This paper numerically solves the decision problem of a multiperiod constant relative risk
aversion individual who faces transaction costs and has access to two risky assets, both with …