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Quantitative Finance Volume 19, 2019 - Issue 3
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Research Papers

Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach

Rongju ZhangRiskLab, Data61, Commonwealth Scientific and Industrial Research Organization, Australia;School of Mathematical Sciences, Monash University, AustraliaCorrespondence[email protected]
[email protected]
,
Nicolas LangrenéRiskLab, Data61, Commonwealth Scientific and Industrial Research Organization, Australia
,
Yu TianSchool of Mathematical Sciences, Monash University, Australia
,
Zili ZhuRiskLab, Data61, Commonwealth Scientific and Industrial Research Organization, Australia
,
Fima KlebanerSchool of Mathematical Sciences, Monash University, Australia
&
Kais HamzaSchool of Mathematical Sciences, Monash University, Australia
Pages 519-532 | Received 28 Aug 2017, Accepted 07 Sep 2018, Published online: 14 Nov 2018

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Feipeng Zhang & Zhao Zhang. (2023) Forecasting exchange rate markets' volatility of G7 countries: will stock market volatility help?. Applied Economics Letters 30:7, pages 991-999.
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Articles from other publishers (13)

M. Ludkovski. (2023) Statistical Machine Learning for Quantitative Finance. Annual Review of Statistics and Its Application 10:1, pages 271-295.
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Luca Gaegauf, Simon Scheidegger & Fabio Trojani. (2023) A Comprehensive Machine Learning Framework for Dynamic Portfolio Choice With Transaction Costs. SSRN Electronic Journal.
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Hongze Wang, Xuerong Li, Wenjing Hong & Ke Tang. (2022) Multi-objective approaches to portfolio optimization with market impact costs. Memetic Computing 14:4, pages 411-421.
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Johan G. Andréasson & Pavel V. Shevchenko. (2021) A bias-corrected Least-Squares Monte Carlo for solving multi-period utility models. European Actuarial Journal 12:1, pages 349-379.
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Ivan Guo, Nicolas Langrené, Grégoire Loeper & Wei Ning. (2021) Robust utility maximization under model uncertainty via a penalization approach. Mathematics and Financial Economics 16:1, pages 51-88.
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Wen Chen, Bonsoo Koo, Yunxiao Wang, Colin O’Hare, Nicolas Langrené, Peter Toscas & Zili Zhu. (2020) Using a stochastic economic scenario generator to analyse uncertain superannuation and retirement outcomes. Annals of Actuarial Science 15:3, pages 549-566.
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Shun Chen & Lei Ge. (2021) A learning-based strategy for portfolio selection. International Review of Economics & Finance 71, pages 936-942.
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Ivan Guo, Nicolas Langrené, Gregoire Loeper & Wei Ning. (2020) Robust Utility Maximization Under Model Uncertainty via a Penalization Approach. SSRN Electronic Journal.
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Wen Chen, Chelle Wang, Bonsoo Koo, Colin O'Hare, Nicolas Langrené, Peter Toscas & Zili Zhu. (2019) Using Stochastic Economic Scenario Generators to Analyse Uncertain Superannuation Outcomes. SSRN Electronic Journal.
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Zhiyi Shen & Chengguo Weng. (2019) A Backward Simulation Method for Stochastic Optimal Control Problems. SSRN Electronic Journal.
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Johan Andreasson & Pavel V. Shevchenko. (2018) Bias-Corrected Least-Squares Monte Carlo for Utility Based Optimal Stochastic Control Problems. SSRN Electronic Journal.
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Johan G. Andreasson & Pavel V. Shevchenko. (2017) Bias-Corrected Least-Squares Monte Carlo for Utility Based Optimal Stochastic Control Problems. SSRN Electronic Journal.
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Rongju Zhang, Nicolas Langrenn, Yu Tian, Zili Zhu, Fima Klebaner & Kais Hamza. (2017) Sharp Target Range Strategies with Application to Dynamic Portfolio Selection. SSRN Electronic Journal.
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