Dynamic trading with uncertain exit time and transaction costs in a general Markov market
Haixiang Yao, Danping Li, Huiling Wu
| Year of publication: |
2022
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|---|---|
| Authors: | Yao, Haixiang ; Li, Danping ; Wu, Huiling |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 84.2022, p. 1-13
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| Subject: | Dynamic trading | Efficient frontier | Markov regime switching | Transaction costs | Uncertain exit time | Transaktionskosten | Theorie | Theory | Markov-Kette | Markov chain | Portfolio-Management | Portfolio selection | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2022.102371 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013472813