Portfolio optimization in the illiquid market using the empirical distribution
This paper focuses on the portfolio optimization problem in the presence of the European options in the illiquid market. To do this, we extract the features of the market data using the statistical test to design a general financial model. After that, applying the dynamic replicating portfolio strat...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2025-08-01
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| Series: | Results in Applied Mathematics |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2590037425000755 |
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