When "time varying" volatility meets "transaction cost" in portfolio selection
W. Qiao, D. Bu, A. Gibberd, Y. Liao, T. Wen, E. Li
Year of publication: |
2023
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Authors: | Qiao, W. ; Bu, Di ; Gibberd, Alex J. ; Liao, Yin ; Wen, Ting ; Li, E. |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 73.2023, p. 220-237
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Subject: | Covariance matrix | Large scale portfolio | Sparse time variation | Structural change | Transaction cost | Theorie | Theory | Portfolio-Management | Portfolio selection | Transaktionskosten | Transaction costs | Volatilität | Volatility |
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