The optimal strategy selection problem for multi-period self-financing portfolio transaction with discrete time and fixed commission is solved for the so-called Markowitz model (only long positions are allowed for this model). It is assumed that the portfolio restructuring at any time moment does not occupy and does not release the funds. In particular, all the money released from the sale of some assets at a time moment t is invested in the acquisition of other assets.
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Proceedings of the XXXV International Seminar on Stability Problems for Stochastic Models, Perm, Russia, September 24–28, 2018. Part II.
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Al-Nator, M.S., Al-Nator, S. & Kasimov, Y.F. Multi-Period Markowitz Model and Optimal Self-Financing Strategy with Commission. J Math Sci 248, 33–45 (2020). https://doi.org/10.1007/s10958-020-04853-7
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DOI: https://doi.org/10.1007/s10958-020-04853-7