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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Bibliographic Details
Main Author: Tang, Jingxiang
Other Authors: PUN Chi Seng
Format: Final Year Project
Language:English
Published: Nanyang Technological University 2021
Subjects:
Online Access:https://hdl.handle.net/10356/148529
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Institution: Nanyang Technological University
Language: English
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