Dynamic portfolio choice with return predictability and transaction costs
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Publication:1999643
DOI10.1016/j.ejor.2019.05.009zbMath1431.91366OpenAlexW2946324444MaRDI QIDQ1999643
Guiyuan Ma, Chi Chung Siu, Song-Ping Zhu
Publication date: 27 June 2019
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://ro.uow.edu.au/cgi/viewcontent.cgi?article=3778&context=eispapers1
financereturn predictabilitycontinuous-time portfolio choicelinear price impactquadratic transaction cost
Statistical methods; risk measures (91G70) Optimal stochastic control (93E20) Portfolio theory (91G10)
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