Liquidity Regimes and Optimal Dynamic Asset Allocation
收藏数据链接：
官方服务：
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
