Mean-Variance portfolio selection in presence of infrequently traded stocks

作者：Castellano Rosella^*; Cerqueti Roy

来源：European Journal of Operational Research, 2014, 234(2): 442-449.

DOI：10.1016/j.ejor.2013.04.024

• Markowitz' model
• Thin stocks
• Mean-variance utility function
• Jump-diffusion dynamics
• Stochastic control problem
• Monte Carlo

This paper deals with a mean-variance optimal portfolio selection problem in presence of risky assets characterized by low-frequency trading and, therefore, low liquidity. To model the dynamics of illiquid assets, we introduce pure-jump processes. This leads to the development of a portfolio selection model in a mixed discrete/continuous time setting. We pursue the twofold scope of analyzing and comparing either long-term investment strategies as well as short-term trading rules. The theoretical model is analyzed by applying extensive Monte Carlo experiments, in order to provide useful insights from a financial perspective.

• 出版日期2014-4-16