Mean-variance portfolio selection in presence of infrequently traded stocks (Q2514715)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mean-variance portfolio selection in presence of infrequently traded stocks |
scientific article |
Statements
Mean-variance portfolio selection in presence of infrequently traded stocks (English)
0 references
3 February 2015
0 references
Markowitz' model
0 references
thin stocks
0 references
mean-variance utility function
0 references
jump-diffusion dynamics
0 references
stochastic control problem
0 references
Monte Carlo
0 references
