Dynamic portfolio selection with market impact costs

DOI10.1016/J.ORL.2014.04.008zbMath1408.91199OpenAlexW2019404230MaRDI QIDQ1785239

Andrew E. B. Lim, Poomyos Wimonkittiwat

Publication date: 28 September 2018

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2014.04.008

zbMATH Keywords

liquiditydynamic portfolio choicetrading costsmultiple time scale asymptotic expansion

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (5)

Optimal selection of project portfolios using reinvestment strategy within a flexible time horizon ⋮ Stochastic optimality in the portfolio tracking problem involving investor's temporal preferences ⋮ Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach ⋮ Model predictive control of constrained Markovian jump nonlinear stochastic systems and portfolio optimization under market frictions ⋮ Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach

Cites Work

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• Optimum consumption and portfolio rules in a continuous-time model
• Dynamic trading policies with price impact
• A model of optimal portfolio selection under liquidity risk and price impact
• Optimal Basket Liquidation for CARA Investors is Deterministic
• THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING
• Solvability and asymptotic behavior of generalized Riccati equations arising in indefinite stochastic LQ controls

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