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.

Publication dates
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)	doi:10.1016/j.ejor.2013.04.024
Print	Apr 2014
Publication process dates
Accepted	24 Apr 2014
Deposited	01 Apr 2020
Accepted author manuscript	EJOR thin stocks for LSBU.pdf License CC BY-NC-ND 4.0 File Access Level Open

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