Mathematical Models of Price Impact and Optimal Portfolio Management in Illiquid Markets
作者： Nikolay Andreev
DOI: 10.1007/978-3-319-09946-0_1
关键词: Selection (genetic algorithm) 、 Portfolio 、 Market liquidity 、 Transaction cost 、 Econometrics 、 Microeconomics 、 Project portfolio management 、 Work (electrical) 、 Economics 、 Field (computer science) 、 Mathematical model
摘要: The problem of optimal portfolio liquidation under transaction costs has been widely researched recently, producing several approaches to formulation and solving. Obtained results can be used for decision making during selection or automatic trading on high-frequency electronic markets. This work gives a review modern studies in this field, comparing models tracking their evolution. paper also presents applying the most recent findings field real MICEX shares with data an interpretation results.
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