Mean–Variance portfolio selection in presence of infrequently traded stocks
Year of publication: |
2014
|
---|---|
Authors: | Castellano, Rosella ; Cerqueti, Roy |
Published in: |
European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 234.2014, 2, p. 442-449
|
Publisher: |
Elsevier |
Subject: | Markowitz’ model | Thin stocks | Mean–variance utility function | Jump-diffusion dynamics | Stochastic control problem | Monte Carlo |
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