Optimal investment with noise trading risk

DOI10.1007/S11424-008-9132-8zbMATH Open1175.91166OpenAlexW2025824195MaRDI QIDQ732810FDOQ732810

Authors: Yunhui Xu, Ken Seng Tan, Zhongfei 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

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zbMATH Keywords

serial correlationnoise tradeoverlapping generationdynamic investment

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (2)

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

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