Asymptotic analysis of long‐term investment with two illiquid and correlated assets-Reference-Cited by-同舟云学术

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Asymptotic analysis of long‐term investment with two illiquid and correlated assets

Published:2022-08-04 Issue:4 Volume:32 Page:1133-1169
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Chen Xinfu¹,Dai Min²^ORCID,Jiang Wei³^ORCID,Qin Cong⁴^ORCID

Affiliation:

1. Department of Mathematics Southwestern University of Finance and Economics Chengdu China

2. Department of Applied Mathematics and Research Centre for Quantitative Finance The Hong Kong Polytechnic University Kowloon Hong Kong

3. Department of Industrial Engineering and Decision Analytics The Hong Kong University of Science and Technology Kowloon Hong Kong

4. Center for Financial Engineering Soochow University Suzhou China

Funder

National Natural Science Foundation of China

Hong Kong Polytechnic University

Hong Kong University of Science and Technology

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12360

Reference40 articles.

1. Asymptotics for fixed transaction costs

2. Optimal Consumption and Investment with Fixed and Proportional Transaction Costs

3. The influence of correlation on multi-asset portfolio optimization with transaction costs

4. PORTFOLIO MANAGEMENT WITH TRANSACTION COSTS: AN ASYMPTOTIC ANALYSIS OF THE MORTON AND PLISKA MODEL

5. Risk-sensitive portfolio optimization with transaction costs

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4. Patience is a Virtue: Optimal Investment in the Presence of Market Resilience;SSRN Electronic Journal;2023

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