Optimal investment with noise trading risk

DOI10.1007/S11424-008-9132-8MaRDI QIDQ732810zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

serial correlationnoise tradeoverlapping generationdynamic investment

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(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

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