Mean–Variance portfolio selection in presence of infrequently traded stocks

Mathematics

• Continuous Time 100%
• Monte Carlo 100%
• Model Selection 100%
• Risky Asset 100%
• Mean-Variance 100%
• Pure-Jump Process 100%

Keyphrases

• Portfolio Optimization 100%
• Continuous-time 33%
• Investment Strategy 33%
• Risky Assets 33%
• Liquidity 33%
• Long-term Investment 33%
• Pure Jump Process 33%
• Discrete-continuous 33%
• Monte Carlo Experiment 33%
• Mean-variance Portfolio Optimization 33%
• Trading Rules 33%
• Short-term Trading 33%
• Illiquid Assets 33%
• Time Setting 33%
• Optimal Portfolio Selection 33%

Economics, Econometrics and Finance

• Portfolio Selection 100%
• Investment Strategies 33%
• Continuous Time 33%