Portfolio selection problem with liquidity constraints under non-extensive statistical mechanics
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Publication:508870
DOI10.1016/j.chaos.2015.10.026zbMath1355.91078OpenAlexW2175409602MaRDI QIDQ508870
Publication date: 8 February 2017
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.chaos.2015.10.026
Numerical methods (including Monte Carlo methods) (91G60) Dynamic programming (90C39) Portfolio theory (91G10)
Related Items (5)
Portfolio selection based on a benchmark process with dynamic value-at-risk constraints ⋮ Multi-period portfolio selection with mental accounts and realistic constraints based on uncertainty theory ⋮ Optimal consumption-portfolio problem with CVaR constraints ⋮ Portfolio selection problem with nonlinear wealth equations under non-extensive statistical mechanics for time-varying SDE ⋮ Optimal investment problem under non-extensive statistical mechanics
Cites Work
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- Optimal portfolio on tracking the expected wealth process with liquidity constraints
- A duality method for optimal consumption and investment under short- selling prohibition. I: General market coefficients
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- Possible generalization of Boltzmann-Gibbs statistics.
- Dynamic mean-variance portfolio selection with borrowing constraint
- Modeling fat tails in stock returns: a multivariate stable-GARCH approach
- On non-Gaussianity and dependence in financial time series: a nonextensive approach
- A non-Gaussian option pricing model with skew
- Empirical properties of asset returns: stylized facts and statistical issues
- A theory of non‐Gaussian option pricing
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