Buy and Hold Golden Strategies in Financial Markets with Frictions and Depth Constraints

DOI10.1080/1350486X.2024.2320339MaRDI QIDQ6569104zbMATH OpenFDO

Authors Alejandro Balbás, Beatriz Balbás, Raquel Balbás

Publication date 8 July 2024

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1350486X.2024.2320339

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial markets (91G15) Statistical methods; risk measures (91G70)

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• Pareto efficient buy and hold investment strategies under order book linked constraints
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• Risk and Financial Management
• Risk measure pricing and hedging in the presence of transaction costs
• Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
• Robustness of optimal portfolios under risk and stochastic dominance constraints

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