SSRNTrading, Microstructure & Execution
A robust portfolio selection problem with price impacts in discrete time
Robust Portfolio Choice Model: A study on portfolio choice suggests that investors may not always aim for the 'ideal' portfolio due to factors like price impacts and aversion to model estimation errors.
Featured in No. 12 on 17 Aug 2023 · 1 day after release · 0 citations today
- Released
- 16 Aug 2023
- First featured
- No. 12 · 17 Aug 2023
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- Identifier
- SSRN 4541885
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