Rebalancing Multiple Assets with Mutual Price Impact

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 assets. Trading toward the...

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Veröffentlicht in:	Journal of optimization theory and applications 2018-11, Vol.179 (2), p.618-653
Hauptverfasser:	Guasoni, Paolo, Weber, Marko H.
Format:	Artikel
Sprache:	eng
Schlagworte:	Applications of Mathematics Calculus of Variations and Optimal Control Optimization Covariance matrix Eigenvectors Engineering Mathematics Mathematics and Statistics Mutual funds Operations Research/Decision Theory Optimization Policies Risk aversion Theory of Computation
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