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

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

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