Mean–Variance portfolio selection in presence of infrequently traded stocks
Journal article
Castellano, R and Cerqueti, R (2014). Mean–Variance portfolio selection in presence of infrequently traded stocks. European Journal of Operational Research. 234 (2), pp. 442-449. https://doi.org/10.1016/j.ejor.2013.04.024
Authors | Castellano, R and Cerqueti, R |
---|---|
Abstract | This paper deals with a mean-variance optimal portfolio selection problem in presence of risky assets characterized by low frequency of trading and, therefore, low liquidity. To model the dynamics of illiquid assets, we introduce pure-jump processes. This leads to the development of a portfolio selection model in a mixed discrete/continuous time setting. In this paper, we pursue the twofold scope of analyzing and comparing either long-term investment strategies as well as short-term trading rules. The theoretical model is analyzed by applying extensive Monte Carlo experiments, in order to provide useful insights from a Önancial perspective |
Keywords | Markowitz model; Thin stocks; Mean-variance utility function; Jump-diffusion dynamics; Stochastic control problem; Monte Carlo |
Year | 2014 |
Journal | European Journal of Operational Research |
Journal citation | 234 (2), pp. 442-449 |
Publisher | Elsevier BV |
ISSN | 0377-2217 |
Digital Object Identifier (DOI) | https://doi.org/10.1016/j.ejor.2013.04.024 |
Publication dates | |
Apr 2014 | |
Publication process dates | |
Accepted | 24 Apr 2014 |
Deposited | 01 Apr 2020 |
Accepted author manuscript | License File Access Level Open |
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License: CC BY-NC-ND 4.0 | ||
File access level: Open |
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