Dynamic portfolio selection with market impact costs
Year of publication: |
2014
|
---|---|
Authors: | Lim, Andrew E. B. ; Wimonkittiwat, Poomyos |
Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 42.2014, 5, p. 299-306
|
Subject: | Liquidity | Trading costs | Dynamic portfolio choice | Multiple time scale asymptotic expansion | Theorie | Theory | Portfolio-Management | Portfolio selection |
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