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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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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-Line portfolio selection strategy with prediction in the presence of transaction costs
Albeverio, Sergio; Lao, LanJun; Zhao, XueLei - In: Mathematical methods of operations research 54 (2001) 1, pp. 133-161
Persistent link: https://www.econbiz.de/10001628096
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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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Super-replication under proportional transaction costs : from discrete to continuous-time models
Touzi, Nizar - In: Mathematical methods of operations research 50 (1999) 2, pp. 297-320
Persistent link: https://www.econbiz.de/10001428812
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Replication and shortfall risk in a binomial model with transaction costs
Trivellato, Barbara - In: Mathematical methods of operations research 69 (2009) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10003858038
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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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A unified approach to portfolio optimization with linear transaction costs
Zakamouline, Valeri I. - In: Mathematical methods of operations research 62 (2005) 2, pp. 319-343
Persistent link: https://www.econbiz.de/10003226181
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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