Dynamic portfolio choice with return predictability and transaction costs
DOI10.1016/J.EJOR.2019.05.009zbMATH Open1431.91366OpenAlexW2946324444MaRDI QIDQ1999643FDOQ1999643
Authors: Guiyuan Ma, Chi Chung Siu, Song-Ping Zhu 
Publication date: 27 June 2019
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://ro.uow.edu.au/cgi/viewcontent.cgi?article=3778&context=eispapers1
Recommendations
financereturn predictabilitycontinuous-time portfolio choicelinear price impactquadratic transaction cost
Statistical methods; risk measures (91G70) Portfolio theory (91G10) Optimal stochastic control (93E20)
Cites Work
- Mean-variance approximations to expected utility
- On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
- Optimum consumption and portfolio rules in a continuous-time model
- Controlled Markov processes and viscosity solutions
- Dynamic portfolio choice with frictions
- Portfolio Selection with Transaction Costs
- Mean-variance portfolio selection of cointegrated assets
- Optimal trade execution: a mean quadratic variation approach
- Portfolio selection in stochastic markets with HARA utility functions
- HARA frontiers of optimal portfolios in stochastic markets
- Predicting equity liquidity
- Consumption and Portfolio Decisions when Expected Returns are Time Varying
- Algorithmic and high-frequency trading
- Mean-variance asset-liability management: cointegrated assets and insurance liability
- Robust portfolio control with stochastic factor dynamics
- Portfolio selection: a review
- Optimal investment and consumption under a continuous-time cointegration model with exponential utility
- Equilibrium returns with transaction costs
- Reaching nirvana with a defaultable asset?
Cited In (22)
- Dynamic trading with Markov liquidity switching
- Dynamic portfolio choice with frictions
- A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment
- Dynamic mean-variance problem with frictions
- Dynamic asset-liability management with frictions
- 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
- 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
- Optimal portfolio execution problem with stochastic price impact
- Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint
- Robust portfolio optimization with multi-factor stochastic volatility
- A MAXIMAL PREDICTABILITY PORTFOLIO SUBJECT TO A TURNOVER CONSTRAINT
- Alpha-robust mean-variance reinsurance and investment strategies with transaction costs
- Dynamic portfolio selection with market impact 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
This page was built for publication: Dynamic portfolio choice with return predictability and transaction costs
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1999643)
