Comparison between the mean-variance optimal and the mean-quadratic-variation optimal trading strategies
S. T. Tse, P. A. Forsyth, J. S. Kennedy & H. Windcliff
| Year of publication: |
2013
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|---|---|
| Authors: | Tse, S. T. ; Forsyth, Peter ; Kennedy, J. S. ; Windcliff, H. |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 20.2013, 5/6, p. 415-449
|
| Subject: | Optimal trading | mean variance | pre-commitment | mean quadratic variation | time consistent | arrival price | implementation shortfall | HJB PDE | interpolation | scaled grid | Theorie | Theory | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010235600