Dynamic portfolio choice with return predictability and transaction costs
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Publication:1999643
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Cites work
- Algorithmic and high-frequency trading
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- Controlled Markov processes and viscosity solutions
- Dynamic portfolio choice with frictions
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Cited in
(25)- Dynamic portfolio choice with frictions
- Dynamic trading with Markov liquidity switching
- Dynamic mean-variance problem with frictions
- Investment-consumption optimization with transaction cost and learning about return predictability
- A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment
- Dynamic asset-liability management with frictions
- Time-consistent risk control and investment strategies with transaction costs
- An analysis of dollar cost averaging and market timing investment strategies
- An omega portfolio model with dynamic return thresholds
- Multi-period portfolio selection with mental accounts and realistic constraints based on uncertainty theory
- Optimal asset allocation under search frictions and stochastic interest rate
- Optimal investment, consumption and life insurance purchase with learning about return predictability
- Optimal reinsurance-investment problem for the insurer and reinsurer with asymmetric information in principal-agent model
- Dynamic asset allocation with predictable asset return
- Dynamic asset allocation with event risk, transaction costs and predictable returns
- Optimal pair-trade execution with generalized cross-impact
- Robust portfolio optimization with multi-factor stochastic volatility
- Optimal portfolio execution problem with stochastic price impact
- Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint
- A MAXIMAL PREDICTABILITY PORTFOLIO SUBJECT TO A TURNOVER CONSTRAINT
- Dynamic portfolio selection with market impact costs
- Alpha-robust mean-variance reinsurance and investment strategies with transaction costs
- Continuous time mean-variance-utility portfolio problem and its equilibrium strategy
- Portfolio selection with tail nonlinearly transformed risk measures -- a comparison with mean-CVaR analysis
- Feedback predictive control strategies for investment in the financial market with serially correlated returns subject to constraints and trading costs
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