Large-scale portfolio allocation under transaction costs and model uncertainty
Year of publication: |
2019
|
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Authors: | Hautsch, Nikolaus ; Voigt, Stefan |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 212.2019, 1, p. 221-240
|
Subject: | High frequency data | Model uncertainty | Portfolio choice | Regularization | Transaction costs | Theorie | Theory | Portfolio-Management | Portfolio selection | Transaktionskosten | Kapitaleinkommen | Capital income | Risiko | Risk |
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