Optimal portfolio selection under concave price impact

DOI10.1007/s00245-013-9191-7zbMath1269.93136arXiv1204.4852OpenAlexW2153964652MaRDI QIDQ360368

Jin Ma, Jianfeng Zhang, Qingshuo Song, Jing Xu

Publication date: 26 August 2013

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.4852

zbMATH Keywords

stochastic optimizationtransaction costimpulse controlconcave functionprice impactquasi-variational inequalityliquidity riskoptimal portfolio selectiontrading size

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (2)

Arbitrage theory for non convex financial market models ⋮ Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach

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