|
|||||
|
|
Dynamic mean–variance problem with frictions |
|
| Authors: | Bensoussan Alain Ma Guiyuan Siu Chi Chung Yam Sheung Chi Phillip |
| Institution: | 1.International Center for Decision and Risk Analysis, Naveen Jindal School of Management, University of Texas at Dallas, Richardson, TX, USA ;2.School of Data Science, City University of Hong Kong, Hong Kong, China ;3.School of Economics and Finance, Xi’an Jiaotong University, Xi’an, China ;4.Department of Mathematics, Statistics and Insurance, School of Decision Sciences, The Hang Seng University of Hong Kong, Hong Kong, China ;5.Department of Statistics, The Chinese University of Hong Kong, Hong Kong, China ; |
| Abstract: | Finance and Stochastics - We study a dynamic mean–variance portfolio selection problem with return predictability and trading frictions from price impact. Applying mean-field type control... |
| Keywords: | |
| 本文献已被 SpringerLink 等数据库收录！ | |