Optimal portfolios of a small investor in a limit order market: a shadow price approach

DOI10.1007/s11579-010-0027-9zbMath1255.91449OpenAlexW1979137326MaRDI QIDQ1932532

Maximilian Stroh, Christoph Kühn

Publication date: 20 January 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-010-0027-9

zbMATH Keywords

portfolio optimizationshadow priceorder booklimit order market

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (13)

On the existence of shadow prices ⋮ Recent advances in reinforcement learning in finance ⋮ A Leland model for delta hedging in central risk books ⋮ Optimal investment in an illiquid market with search frictions and transaction costs ⋮ Continuous time trading of a small investor in a limit order market ⋮ Unnamed Item ⋮ Optimal high-frequency trading with limit and market orders ⋮ On using shadow prices in portfolio optimization with transaction costs ⋮ Almost Surely Optimal Portfolios Under Proportional Transaction Costs ⋮ Markets with random lifetimes and private values: mean reversion and option to trade ⋮ OPTIMAL HIGH‐FREQUENCY TRADING IN A PRO RATA MICROSTRUCTURE WITH PREDICTIVE INFORMATION ⋮ Optimal liquidity provision ⋮ Asymptotics and duality for the Davis and Norman problem

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