Dynamic mean-variance problem with frictions
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Publication:2120542
DOI10.1007/s00780-022-00474-xzbMath1484.91414OpenAlexW4221065761MaRDI QIDQ2120542
Guiyuan Ma, Chi Chung Siu, Sheung Chi Phillip Yam, Alain Bensoussan
Publication date: 1 April 2022
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-022-00474-x
asymptoticsprice impacttime-inconsistencydynamic mean-variance problemmean-field type control problems
Related Items (3)
Dynamic trading with Markov liquidity switching ⋮ Strategic trading with information acquisition and long-memory stochastic liquidity ⋮ Dynamic asset-liability management with frictions
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