Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach (Q5234310)
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scientific article; zbMATH DE number 7110432
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach |
scientific article; zbMATH DE number 7110432 |
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Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach (English)
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26 September 2019
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dynamic portfolio optimization
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multi-period asset allocation
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transaction cost
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liquidity cost
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permanent market impact
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least squares Monte Carlo
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