Optimal portfolio selection under concave price impact
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Publication:360368
DOI10.1007/s00245-013-9191-7zbMath1269.93136arXiv1204.4852OpenAlexW2153964652MaRDI 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
stochastic optimizationtransaction costimpulse controlconcave functionprice impactquasi-variational inequalityliquidity riskoptimal portfolio selectiontrading size
Related Items (2)
Arbitrage theory for non convex financial market models ⋮ Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach
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