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International Journal of General Systems Volume 48, 2019 - Issue 2
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Articles

Continuous-time mean variance portfolio with transaction costs: a proximal approach involving time penalization

M. García-GaliciaEscuela Superior de Física y Matemáticas, Instituto Politécnico Nacional, Mexico City, Mexico;School of Physics and Mathematics, National Polytechnic Institute, Mexico City, MexicoView further author information
,
A. A. CarsteanuEscuela Superior de Física y Matemáticas, Instituto Politécnico Nacional, Mexico City, Mexico;School of Physics and Mathematics, National Polytechnic Institute, Mexico City, MexicoView further author information
&
J. B. ClempnerEscuela Superior de Física y Matemáticas, Instituto Politécnico Nacional, Mexico City, Mexico;School of Physics and Mathematics, National Polytechnic Institute, Mexico City, MexicoCorrespondence[email protected]
ORCID Iconhttp://orcid.org/0000-0002-5918-4671View further author information
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Pages 91-111 | Received 23 Feb 2018, Accepted 28 Aug 2018, Published online: 26 Sep 2018

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Yue Xu, Chen Fei & Weiyin Fei. (2024) Optimal dynamic contract with Knightian uncertainty of ESG rating. International Journal of General Systems 53:3, pages 381-402.
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Xiaosheng Wang, Fan Yang & Wei Li. A contract period optimization model for shared water saving management contract based on win-win. International Journal of General Systems 0:0, pages 1-21.
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Articles from other publishers (7)

Julio B. Clempner & Alexander PoznyakJulio B. Clempner & Alexander Poznyak. 2024. Optimization and Games for Controllable Markov Chains. Optimization and Games for Controllable Markov Chains 47 63 .
Julio B. Clempner & Alexander PoznyakJulio B. Clempner & Alexander Poznyak. 2024. Optimization and Games for Controllable Markov Chains. Optimization and Games for Controllable Markov Chains 17 45 .
Lesly Lisset Ortiz-Cerezo, Alin Andrei Carsteanu & Julio Bernardo Clempner. (2022) Sharpe-Ratio Portfolio in Controllable Markov Chains: Analytic and Algorithmic Approach for Second Order Cone Programming. Mathematics 10:18, pages 3221.
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Andriy Senyk, Oleksandra Manziy, Yuriy Futryk, Oleksandr Stepanyuk & Yuliya Senyk. (2022) Information System Supporting Decision-making Processes for Forming of Securities Portfolio. Vìsnik Nacìonalʹnogo unìversitetu "Lʹvìvsʹka polìtehnìka". Serìâ Ìnformacìjnì sistemi ta merežì 11, pages 39-55.
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Todor Stoilov, Krasimira Stoilova & Miroslav Vladimirov. (2021) Decision Support for Portfolio Management by Information System with Black–Litterman Model. International Journal of Information Technology & Decision Making 21:02, pages 643-664.
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O. Manziy, A. Senyk, I. Ivanyk, O. Stepanyuk & Yu. Senyk. (2022) Information system supporting dynamic diversification of investment financing. Galic'kij ekonomičnij visnik 4:77, pages 33-44.
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Todor Stoilov, Krasimira Stoilova & Miroslav Vladimirov. (2021) Decision Making in Real Estate: Portfolio Approach. Cybernetics and Information Technologies 21:4, pages 28-44.
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