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Rebalancing with Linear and Quadratic Costs - MaRDI portal

Rebalancing with Linear and Quadratic Costs (Q4591242)

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scientific article; zbMATH DE number 6806451
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English
Rebalancing with Linear and Quadratic Costs
scientific article; zbMATH DE number 6806451

    Statements

    title
    Rebalancing with Linear and Quadratic Costs (English)
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    author
    Ren Liu
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    Johannes Muhle-Karbe
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    Marko H. Weber
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    publication date
    13 November 2017
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    zbMATH Keywords
    price impact
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    transaction costs
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    portfolio choice
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    long-run
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    Identifiers

    DOI
    10.1137/15M1043406
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    Mathematics Subject Classification ID
    91G10
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    91G80
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    34E05
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    zbMATH DE Number
    6806451
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    arXiv ID
    1402.5306
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    OpenAlex ID
    W3123077015
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