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Guasoni et al., 2018 - Google Patents

Rebalancing multiple assets with mutual price impact

Guasoni et al., 2018

View PDF
Document ID
13058456869399708371
Author
Guasoni P
Weber M
Publication year
Publication venue
Journal of Optimization Theory and Applications

External Links

Snippet

We find asymptotically optimal trading policies for long-term investors with constant relative risk aversion, in a multiple-assets market, where expected returns and covariances are constant, and the execution price of each asset is linear in the trading intensities of all …
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