Optimal portfolio selection under concave price impact

DOI10.1007/s00245-013-9191-7zbMath1269.93136arXiv1204.4852MaRDI QIDQ360368

Jin Ma, Jianfeng Zhang, Qingshuo Song, Jing Xu

Publication date: 26 August 2013

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.4852

zbMATH Keywords

stochastic optimization; transaction cost; impulse control; concave function; price impact; quasi-variational inequality; liquidity risk; optimal portfolio selection; trading size

Mathematics Subject Classification ID

93E20: Optimal stochastic control

91G10: Portfolio theory

Related Items

Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach, Arbitrage theory for non convex financial market models

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