Impacts of market impact cost on portfolio selection strategies
This report studies optimal dynamic portfolio choice with mean-variance analysis in continuous time when there are market impact costs. The optimal policy is hard to characterize, so instead we solved a tractable alternative dynamic portfolio choice problem for a sub-optimal policy. The alternative...
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| Format: | Final Year Project |
| Language: | English |
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Nanyang Technological University
2021
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| Online Access: | https://hdl.handle.net/10356/148529 |
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| Institution: | Nanyang Technological University |
| Language: | English |