Rebalancing multiple assets with mutual price impact

DOI10.1007/s10957-018-1366-6zbMath1418.91473OpenAlexW3122304997MaRDI QIDQ1626513

Paolo Guasoni, Marko H. Weber

Publication date: 27 November 2018

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-018-1366-6

zbMATH Keywords

portfolio choiceliquidityprice impactlong-run

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (6)

Equilibrium returns with transaction costs ⋮ Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case ⋮ Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory ⋮ Optimal rebalancing frequencies for multidimensional portfolios ⋮ Scaling limits of processes with fast nonlinear mean reversion ⋮ Optimal Investment with Transient Price Impact

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• Continuous Auctions and Insider Trading
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