Portfolio optimization under market impact costs
- Economics2013 IEEE Congress on Evolutionary Computation
Grammatical Evolution, a form of Genetic Programming, is used to create portfolio strategies on an artificial market suited to simulate market impact which considerably outperform a linearly built-up Markowitz tangency portfolio by limiting the invested amount and adjusting the portfolio weights.
The Budapest liquidity measure and the price impact function
During the 2007/2008 global economic crisis, market liquidity became an important issue both on the field of theoretical finance and in practice. In theory market liquidity is usually being modeled…