Name
Abstract | ||
|---|---|---|
•We develop a long- and a short-term strategy for optimal portfolio and provide a comparison between them.•We consider a market characterized by the presence of thin stocks.•We build a mixed continuous/discrete time model.•We provide extensive Monte Carlo experiments to derive insights under the financial perspective. |
Year | DOI | Venue |
|---|---|---|
2014 | 10.1016/j.ejor.2013.04.024 | European Journal of Operational Research |
Keywords | Field | DocType |
Markowitz’ model,Thin stocks,Mean–variance utility function,Jump-diffusion dynamics,Stochastic control problem,Monte Carlo | Market liquidity,Monte Carlo method,Economics,Investment strategy,Microeconomics,Portfolio,Portfolio optimization,Trading rules,Stock (geology) | Journal |
Volume | Issue | ISSN |
234 | 2 | 0377-2217 |
Citations | PageRank | References |
6 | 0.50 | 8 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Rosella Castellano | 1 | 21 | 5.19 |
| Roy Cerqueti | 2 | 41 | 15.85 |