Dynamic portfolio selection with market impact costs

DOI10.1016/J.ORL.2014.04.008MaRDI QIDQ1785239zbMATH OpenOpenAlexFDO

Authors Andrew Lim, Poomyos Wimonkittiwat

Publication date 28 September 2018

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

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

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)

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Cites work

• scientific article; zbMATH DE number 4055448 (Why is no real title available?)
• A model of optimal portfolio selection under liquidity risk and price impact
• Dynamic trading policies with price impact
• Optimal basket liquidation for CARA investors is deterministic
• Optimum consumption and portfolio rules in a continuous-time model
• Solvability and asymptotic behavior of generalized Riccati equations arising in indefinite stochastic LQ controls
• The cost of illiquidity and its effects on hedging

Cited in

(15)

• Optimal portfolio deleveraging under market impact and margin restrictions
• Dynamic portfolio execution and information relaxations
• Dynamic mean-variance problem with frictions
• Market timing in parametric portfolio policies
• Rebalancing multiple assets with mutual price impact
• Stochastic optimality in the portfolio tracking problem involving investor's temporal preferences
• Portfolio choice with small temporary and transient price impact
• Model predictive control of constrained Markovian jump nonlinear stochastic systems and portfolio optimization under market frictions
• Portfolio optimization under liquidity costs
• Dynamic investment strategies with demand-side and cost-side risks
• Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach
• Optimal Leveraged Portfolio Selection Under Quasi-Elastic Market Impact
• Optimal selection of project portfolios using reinvestment strategy within a flexible time horizon
• Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach
• Dynamic portfolio choice with frictions

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