Adjustment costs in mean-variance efficiency analysis

DOI10.1080/00207729608929249MaRDI QIDQ4883834zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

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

Mathematics Subject Classification ID

Economic growth models (91B62)

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• An Adjustment Cost Model of Asset Pricing
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Cites work

• scientific article; zbMATH DE number 48691 (Why is no real title available?)
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Estimating the Efficiency of Production
• Modelling and testing for market volatility
• Modelling the persistence of conditional variances

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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