Mean-variance portfolio selection in presence of infrequently traded stocks
Rosella Castellano; Roy Cerqueti
| Year of publication: |
2014
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|---|---|
| Authors: | Castellano, Rosella ; Cerqueti, Roy |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 234.2014, 2 (1.4.), p. 442-449
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| Subject: | Markowitz' model | Thin stocks | Mean-variance utility function | Jump-diffusion dynamics | Stochastic control problem | Monte Carlo | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Kontrolltheorie | Control theory | Börsenkurs | Share price | Nutzenfunktion | Utility function | Mathematische Optimierung | Mathematical programming | Schätztheorie | Estimation theory |
| 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/10010356733