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Optimal fees in hedge funds with first-loss compensation
Escobar, Marcos; Havrylenko, Y.; Zagst, Rudi - In: Journal of banking & finance 118 (2020), pp. 1-17
Persistent link: https://www.econbiz.de/10012521040
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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 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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International equity portfolio allocations and transaction costs
Thapa, Chandra; Poshakwale, Sunil S. - In: Journal of banking & finance 34 (2010) 11, pp. 2627-2638
Persistent link: https://www.econbiz.de/10008858853
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A jackknife-type estimator for portfolio revision
Füss, Roland; Miebs, Felix; Trübenbach, Fabian - In: Journal of banking & finance 43 (2014), pp. 14-28
Persistent link: https://www.econbiz.de/10010408363
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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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Minimizing CVaR and VaR for a portfolio of derivatives
Alexander, S.; Coleman, T. F.; Li, Yuying - In: Journal of banking & finance 30 (2006) 2, pp. 583-605
Persistent link: https://www.econbiz.de/10003291325
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A general approach to smooth and convex portfolio optimization using lower partial moments
Yao, Haixiang; Huang, Jinbo; Li, Yong; Humphrey, … - In: Journal of banking & finance 129 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10012822108
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A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs
Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - In: Journal of banking & finance 125 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10012819586