Optimal leveraged portfolio selection under quasi-elastic market impact
Chanaka Edirisinghe, Jingnan Chen, Jaehwan Jeong
| Year of publication: |
2023
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|---|---|
| Authors: | Edirisinghe, Chanaka ; Chen, Jingnan ; Jeong, Jaehwan |
| Published in: |
Operations research. - Linthicum, Md. : INFORMS, ISSN 1526-5463, ZDB-ID 2019440-7. - Vol. 71.2023, 5, p. 1558-1576
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| Subject: | liquidity risk | portfolio leverage | portfolio optimization | risk-adjusted returns | trading impact on price | Portfolio-Management | Portfolio selection | Theorie | Theory | Kapitalstruktur | Capital structure | Portfolio-Investition | Foreign portfolio investment | Kapitaleinkommen | Capital income | Risiko | Risk | Betriebliche Liquidität | Corporate liquidity |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/opre.2023.2462 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014393151