Dynamic portfolio optimization with liquidity cost and market impact : a simulation-and-regression approach
Rongju Zhang, Nicolas Langrené, Yu Tian, Zili Zhu, Fima Klebaner and Kais Hamza
| Year of publication: |
2019
|
|---|---|
| Authors: | Zhang, Rongju ; Langrené, Nicolas ; Tian, Yu ; Zhu, Zili ; Klebaner, Fima C. ; Hamza, Kais |
| Subject: | Dynamic portfolio optimization | Least squares Monte Carlo | Liquidity cost | Multi-period asset allocation | Permanent market impact | Transaction cost | Portfolio-Management | Portfolio selection | Theorie | Theory | Transaktionskosten | Transaction costs | Dynamische Optimierung | Dynamic programming | Monte-Carlo-Simulation | Monte Carlo simulation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2018.1524155 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194674