We consider a dynamic portfolio optimization problem when expected returns follow a linear factor model and transaction costs are quadratic. A closed-form solution is derived for the optimal portfolio policy, which is a gradual trading towards a moving aim portfolio. To pursue the short-horizon...

We study the speed of convergence to market efficiency by examining the short-term return predictability using the high-frequency data of Chinese stocks. The empirical results reveal that it takes more than 30 minutes but less than 60 minutes for these stocks to accommodate the price pressures...

Extreme events are ubiquitous in nature and social society, including natural disasters, accident disasters, crises in public health (such as Ebola and the COVID-19 pandemic), and social security incidents (wars, conflicts, and social unrest). These extreme events will heavily impact financial...