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A key feature of the proposed method is the use of a linearly parameterized class of feedback control policies, which permits us to obtain explicit analytic expressions for the portfolio statistics over time. These expressions are proved to be convex in the decision parameters, and hence, under these control laws, the multistage problem is formulated and solved by means of efficient tools for quadratic or second-order-cone convex programming.<\/jats:p>","DOI":"10.1137\/080723776","type":"journal-article","created":{"date-parts":[[2009,6,25]],"date-time":"2009-06-25T18:04:45Z","timestamp":1245953085000},"page":"2254-2274","source":"Crossref","is-referenced-by-count":49,"title":["An Affine Control Method for Optimal Dynamic Asset Allocation with Transaction Costs"],"prefix":"10.1137","volume":"48","author":[{"given":"Giuseppe Carlo","family":"Calafiore","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"351","published-online":{"date-parts":[[2009,6,25]]},"reference":[{"key":"R1","doi-asserted-by":"crossref","unstructured":"B. R. 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