Dynamic portfolio choice with return predictability and transaction costs
type: Item
instance of: scholarly article
title: Dynamic portfolio choice with return predictability and transaction costs
zbMATH Open document ID: 1431.91366
author: Guiyuan Ma
author: Chi Chung Siu
author: Song-Ping Zhu
published in: European Journal of Operational Research
publication date: 2019-06-27T00:00:00Z
full work available at URL: https://ro.uow.edu.au/cgi/viewcontent.cgi
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 7074069
zbMATH Keywords: finance
zbMATH Keywords: continuous-time portfolio choice
zbMATH Keywords: return predictability
zbMATH Keywords: linear price impact
zbMATH Keywords: quadratic transaction cost
MaRDI profile type: Publication
OpenAlex ID: W2946324444
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DOI: 10.1016/J.EJOR.2019.05.009
description: scientific article; zbMATH DE number 7074069