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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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https://doi.org/10.1080/14697688.2018.1524155
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