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"Portfolio Optimization Under Regime Switching and Transaction Costs: ..."

Xiaoyue Li, John M. Mulvey (2021)

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DOI: 10.1287/IJOO.2021.0053

access: closed

type: Journal Article

metadata version: 2024-03-16

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Xiaoyue Li, John M. Mulvey:
Portfolio Optimization Under Regime Switching and Transaction Costs: Combining Neural Networks and Dynamic Programs. INFORMS J. Optim. 3(4): 398-417 (2021)

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