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Large-scale portfolio allocation under transaction costs and model uncertainty
Hautsch, Nikolaus; Voigt, Stefan - 2017
other hand as a regularization, which shrinks the covariance matrix. As an empirical framework, we propose a flexible … illustrate that transaction cost regularization (even to small extent) is crucial in order to produce allocations with positive …
Persistent link: https://www.econbiz.de/10011755791
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Asset returns with transactions costs and uninsured individual risk : a stage III exercise
Aiyagari, Sudhakar Rao; Gertler, Mark - 1990 - Rev
Persistent link: https://www.econbiz.de/10000807006
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Asset Returns with Transactions Cost and Uninsured Risk : A Stage III Exercise
Aiyagari, S. Rao - 1990
for liquid assets by adding uninsured individual risk together with differential costs of trading securities. We then …
Persistent link: https://www.econbiz.de/10012475546
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Regularized robust strategic asset allocation under stochastic variance-covariance of asset returns
Kikuchi, Kentaro; Kusuda, Koji - 2024
Persistent link: https://www.econbiz.de/10014549549
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Dynamic asset allocation with ambiguous return predictability
Chen, Hui; Ju, Nengjiu; Miao, Jianjun - In: Review of economic dynamics 17 (2014) 4, pp. 799-823
Persistent link: https://www.econbiz.de/10011281431
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Asset pricing model uncertainty and portfolio choice
Carrasco, Ignacio; Hansen, Erwin - In: Finance research letters 45 (2022), pp. 1-7
Persistent link: https://www.econbiz.de/10014576820
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Momentum has its moments
Barroso, Pedro; Santa-Clara, Pedro - In: Journal of financial economics 116 (2015) 1, pp. 111-120
Persistent link: https://www.econbiz.de/10011347950
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An Omega portfolio model with dynamic return thresholds
Yu, Jing-Rung; Chiou, Wan-jiun Paul; Lee, Wen-Yi - In: International transactions in operational research : a … 30 (2023) 5, pp. 2528-2545
Persistent link: https://www.econbiz.de/10014259294
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Managed portfolio performance and transaction costs
Taylor, Nicholas - In: Applied economics letters 22 (2015) 4/6, pp. 272-280
Persistent link: https://www.econbiz.de/10010506781
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A spectral model of turnover reduction
Kakushadze, Zura - In: Econometrics : open access journal 3 (2015) 3, pp. 577-589
We give a simple explicit formula for turnover reduction when a large number of alphas are traded on the same execution platform and trades are crossed internally. We model turnover reduction via alpha correlations. Then, for a large number of alphas, turnover reduction is related to the largest...
Persistent link: https://www.econbiz.de/10011410628