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A note on the dynamic liquidity trading problem with a mean-variance objective

✍ Scribed by Somayeh Moazeni

Book ID
107403286
Publisher
Springer-Verlag
Year
2010
Tongue
English
Weight
162 KB
Volume
5
Category
Article
ISSN
1862-4472

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In this paper the standard portfolio case with short sales restrictions is analyzed. Dybvig pointed out that if there is a kink at a risky portfolio on the ecient frontier, then the securities in this portfolio have equal expected return and the converse of this statement is false. For the existence