Liquidity Regimes and Optimal Dynamic Asset Allocation
收藏NBER2018-01-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w24222
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资源简介：
We solve a portfolio choice problem when expected returns, volatilities and trading-costs follow a regime-switching model. The optimal policy trades towards an aim portfolio given by a weighted-average of the conditional mean-variance portfolios in all future states. The trading speed is higher in
提供机构：
美国国家经济研究局
创建时间：
2018-01-01
