The problem of dynamic portfolio choice with transaction costs is often addressed by constructing a Markov Chain approximation of the continuous time price processes. Using this approximation, we present an efficient numerical method to determine optimal portfolio strategies under time- and...

This paper introduces a general continuous-time mathematical framework for solution of dynamic mean–variance control problems. We obtain theoretical results for two classes of functionals: the first one depends on the whole trajectory of the controlled process and the second one is based on...

This paper studies properties of an estimator of mean–variance portfolio weights in a market model with multiple risky assets and a riskless asset. Theoretical formulas for the mean square error are derived in the case when asset excess returns are multivariate normally distributed and...