Dynamic portfolio selection with market impact costs (Q1785239)

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Dynamic portfolio selection with market impact costs
scientific article

    Statements

    title
    Dynamic portfolio selection with market impact costs (English)
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    author
    Andrew E. B. Lim
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    Poomyos Wimonkittiwat
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    publication date
    28 September 2018
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    zbMATH Keywords
    liquidity
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    trading costs
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    dynamic portfolio choice
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    multiple time scale asymptotic expansion
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    Identifiers

    zbMATH DE Number
    6945269
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    OpenAlex ID
    W2019404230
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