High-Dimensional Portfolio Management: Taxes, Execution and Information Relaxations
Portfolio management has always been a key topic in finance research area. While many researchers have studied portfolio management problems, most of the work to date assumes trading is frictionless. This dissertation presents our investigation of the optimal trading policies and efforts of applying...
| Main Author: | |
|---|---|
| Language: | English |
| Published: |
2014
|
| Subjects: | |
| Online Access: | https://doi.org/10.7916/D8M043JJ |