A new closed-form solution for optimal portfolio selection with liquidity risk
In the literature on optimal portfolio selection problems, it is rare that closed-form solutions are found. It is even more so when liquidity risk needs to be taken into consideration. In this paper, we present a closed-form solution for the optimal weights of a portfolio that consists of a risky a...
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| Principais autores: | , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado: |
Vilnius Gediminas Technical University
2026-02-01
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| Series: | Mathematical Modelling and Analysis |
| Assuntos: | |
| Acceso en liña: | https://journals.vilniustech.lt/index.php/MMA/article/view/24351 |
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