Optimal portfolio selection under concave price impact (Q360368): Difference between revisions
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| Property / author: Jing Xu / rank | |||
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| Property / Mathematics Subject Classification ID: 93E20 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G10 / rank | |||
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| Property / zbMATH DE Number: 6201594 / rank | |||
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liquidity risk | |||
| Property / zbMATH Keywords: liquidity risk / rank | |||
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price impact | |||
| Property / zbMATH Keywords: price impact / rank | |||
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transaction cost | |||
| Property / zbMATH Keywords: transaction cost / rank | |||
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impulse control | |||
| Property / zbMATH Keywords: impulse control / rank | |||
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optimal portfolio selection | |||
| Property / zbMATH Keywords: optimal portfolio selection / rank | |||
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stochastic optimization | |||
| Property / zbMATH Keywords: stochastic optimization / rank | |||
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concave function | |||
| Property / zbMATH Keywords: concave function / rank | |||
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quasi-variational inequality | |||
| Property / zbMATH Keywords: quasi-variational inequality / rank | |||
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trading size | |||
| Property / zbMATH Keywords: trading size / rank | |||
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Revision as of 11:27, 28 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal portfolio selection under concave price impact |
scientific article |
Statements
Optimal portfolio selection under concave price impact (English)
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26 August 2013
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liquidity risk
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price impact
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transaction cost
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impulse control
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optimal portfolio selection
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stochastic optimization
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concave function
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quasi-variational inequality
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trading size
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