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.

Mean-variance portfolio selection in presence of unfrequently traded stocks

CASTELLANO, Rosella;CERQUETI, ROY
2014

Abstract

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.
Elsevier
Internazionale
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11393/150012
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