Optimal asset allocation under search frictions and stochastic interest rate-Reference-Cited by-同舟云学术

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Optimal asset allocation under search frictions and stochastic interest rate

Published:2023-04-19 Issue:6 Volume:23 Page:1019-1033
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Wang Ning¹,Zhu Song-Ping¹,Elliott Robert J.²³

Affiliation:

1. School of Mathematics and Applied Statistics, University of Wollongong, Wollongong, NSW 2522, Australia

2. Haskayne School of Business, University of Calgary, Calgary, Alberta T2N 1N, Canada

3. School of Business, University of South Australia, Adelaide, SA 5072, Australia

Funder

Australian Research Council

NSERC

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2023.2199781

Reference39 articles.

1. AI-Aradi, A., Correia, A., Naiff, D., Jardim, G. and Saporito, Y., Solving nonlinear and high-dimensional partial differential equations via deep learning. Preprint arXiv:1811.08782, 2021.

2. Dynamic Asset Allocation in a Mean-Variance Framework

3. Dynamic Mean-Variance Asset Allocation

4. INVESTING WITH LIQUID AND ILLIQUID ASSETS

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Investment–consumption optimization with transaction cost and learning about return predictability;European Journal of Operational Research;2024-11

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