Adjustment costs in mean-variance efficiency analysis

DOI10.1080/00207729608929249zbMATH Open0849.90014OpenAlexW1979472478MaRDI QIDQ4883834FDOQ4883834

Authors: J. K. Sengupta 

Publication date: 7 November 1996

Published in: International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207729608929249

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zbMATH Keywords

stock marketsfinancial economicsdynamic control modelmean variance efficiency modelshort-run adjustment to long-run goals

Mathematics Subject Classification ID

Economic growth models (91B62)

Cites Work

• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Modelling the persistence of conditional variances
• Title not available (Why is that?)
• Estimating the Efficiency of Production
• Modelling and testing for market volatility

Cited In (3)

• The influence of perceived stock value price histories in the mean-variance-instability model
• An Adjustment Cost Model of Asset Pricing
• Measuring Factor Adjustment Costs

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