Optimal investment with noise trading risk

DOI10.1007/s11424-008-9132-8zbMath1175.91166OpenAlexW2025824195MaRDI QIDQ732810

Ken Seng Tan, Yunhui Xu, Zhong-Fei Li

Publication date: 15 October 2009

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-008-9132-8

zbMATH Keywords

serial correlationoverlapping generationnoise tradedynamic investment

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10)

Related Items (2)

Stock efficiency evaluation based on multiple risk measures: a DEA-like envelopment approach ⋮ Risk management for international portfolios with basket options: A multi-stage stochastic programming approach

Cites Work

• Discrete time market with serial correlations and optimal myopic strategies
• Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
• Multi-period optimization portfolio with bankruptcy control in stochastic market
• Estimation of the mean of a multivariate normal distribution
• Portfolio optimization in stochastic markets
• Continuous Auctions and Insider Trading
• Consumption and Portfolio Decisions when Expected Returns are Time Varying
• Autocorrelated Returns and Optimal Intertemporal Portfolio Choice

This page was built for publication: Optimal investment with noise trading risk