Mean-variance portfolio selection in presence of infrequently traded stocks
From MaRDI portal
Publication:2514715
DOI10.1016/j.ejor.2013.04.024zbMath1304.91183MaRDI QIDQ2514715
Roy Cerqueti, Rosella Castellano
Publication date: 3 February 2015
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2013.04.024
Monte Carlo; stochastic control problem; jump-diffusion dynamics; thin stocks; mean-variance utility function; Markowitz' model
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