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What happened to the quants in August 2007? : evidence from factors and transactions data
Khandani, Amir E.; Lo, Andrew W. - In: Journal of financial markets 14 (2011) 1, pp. 1-46
Persistent link: https://www.econbiz.de/10009267118
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Optimal control of execution costs
Bertsimas, Dimitris - In: Journal of financial markets 1 (1998) 1, pp. 1-50
Persistent link: https://www.econbiz.de/10001249274
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Stop-loss strategies with serial correlation, regime switching, and transaction costs
Lo, Andrew W.; Remorov, Alexander - In: Journal of financial markets 34 (2017), pp. 1-15
Persistent link: https://www.econbiz.de/10011815030
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When do stop-loss rules stop losses?
Kaminski, Kathryn M.; Lo, Andrew W. - In: Journal of financial markets 18 (2014), pp. 234-254
Persistent link: https://www.econbiz.de/10010442454