Rebalancing with Linear and Quadratic Costs
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Publication:4591242
DOI10.1137/15M1043406zbMath1415.91268arXiv1402.5306OpenAlexW3123077015MaRDI QIDQ4591242
Johannes Muhle-Karbe, Marko H. Weber, Ren Liu
Publication date: 13 November 2017
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1402.5306
Financial applications of other theories (91G80) Asymptotic expansions of solutions to ordinary differential equations (34E05) Portfolio theory (91G10)
Related Items (3)
Dynamic mean-variance problem with frictions ⋮ High-dimensional Statistical Arbitrage with Factor Models and Stochastic Control ⋮ Optimal multi-asset trading with linear costs: a mean-field approach
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