Dynamic portfolio selection with market impact costs
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Publication:1785239
DOI10.1016/J.ORL.2014.04.008zbMATH Open1408.91199OpenAlexW2019404230MaRDI QIDQ1785239FDOQ1785239
Authors: Andrew 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
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Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Optimal basket liquidation for CARA investors is deterministic
- Solvability and asymptotic behavior of generalized Riccati equations arising in indefinite stochastic LQ controls
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- The cost of illiquidity and its effects on hedging
- Dynamic trading policies with price impact
- A model of optimal portfolio selection under liquidity risk and price impact
Cited In (8)
- Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach
- Portfolio optimization under liquidity costs
- Dynamic investment strategies with demand-side and cost-side risks
- Optimal selection of project portfolios using reinvestment strategy within a flexible time horizon
- Portfolio choice with small temporary and transient price impact
- Stochastic optimality in the portfolio tracking problem involving investor's temporal preferences
- Model predictive control of constrained Markovian jump nonlinear stochastic systems and portfolio optimization under market frictions
- Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach
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