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Mean-variance portfolio selection in presence of infrequently traded stocks. (English) Zbl 1304.91183
Summary: 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.

MSC:
91G10 Portfolio theory
93E20 Optimal stochastic control
91G70 Statistical methods; risk measures
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