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Hysteresis bands on returns, holding period and transaction costs
Delgado, Francisco; Dumas, Bernard; Puopolo, Giovanni W. - In: Journal of banking & finance 57 (2015), pp. 86-100
Persistent link: https://www.econbiz.de/10011543798
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The effect of the rebalancing horizon on the tradeoff between hedging effectiveness and transaction costs
Boonlert Jitmaneeroj - In: International review of economics & finance : IREF 58 (2018), pp. 282-298
Persistent link: https://www.econbiz.de/10012034214
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Portfolio selection with proportional transaction costs and predictability
Mei, Xiaoling; Nogales, Francisco J. - In: Journal of banking & finance 94 (2018), pp. 131-151
Persistent link: https://www.econbiz.de/10011966487
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On the optimal selection of portfolios under limited diversification
Sankaran, Jayaram K.; Patil, Ajay A. - In: Journal of banking & finance 23 (1999) 11, pp. 1655-1666
Persistent link: https://www.econbiz.de/10001415167
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Performance evaluation of optimized portfolio insurance strategies
Zieling, Daniel; Mahayni, Antje; Balder, Sven - In: Journal of banking & finance 43 (2014), pp. 212-225
Persistent link: https://www.econbiz.de/10010410003
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Portfolio models with return forecasting and transaction costs
Yu, Jing-Rung; Chiou, Wan-jiun Paul; Lee, Wen-Yi; Lin, … - In: International review of economics & finance : IREF 66 (2020), pp. 118-130
Persistent link: https://www.econbiz.de/10012390681
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Multiperiod portfolio optimization with multiple risky assets and general transaction costs
Mei, Xiaoling; DeMiguel, Victor; Nogales, Francisco J. - In: Journal of banking & finance 69 (2016), pp. 108-120
Persistent link: https://www.econbiz.de/10011635053
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The role of correlation dynamics in sector allocation
Kalotychou, Elena; Staikouras, Sotiris K.; Zhao, Gang - In: Journal of banking & finance 48 (2014), pp. 1-12
Persistent link: https://www.econbiz.de/10010506948
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Dynamic rebalancing portfolio models with analyses of investor sentiment
Yu, Jing-Rung; Chiou, W. Paul; Hung, Cing-Hung; Dong, … - In: International review of economics & finance : IREF 77 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013288009
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Omega portfolio models with floating return threshold
Yu, Jing-Rung; Chiou, Wan-jiun Paul; Hsin, Yi-Ting; … - In: International review of economics & finance : IREF 82 (2022), pp. 743-758
Persistent link: https://www.econbiz.de/10013545891