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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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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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Forecasting stock returns : an examination of stock market trading in the presence of transaction costs
Pesaran, M. Hashem - In: Journal of forecasting 13 (1994) 4, pp. 335-367
Persistent link: https://www.econbiz.de/10001166232
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Optimal Investment and Consumption with Return Predictability and Execution Costs
Ma, Guiyuan - 2019
We provide a closed-form solution to an optimal investment and consumption problem for a constant absolute risk …
Persistent link: https://www.econbiz.de/10012871582
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Optimal investment and consumption with return predictability and execution costs
Ma, Guiyuan; Siu, Chi Chung; Zhu, Song-Ping - In: Economic modelling 88 (2020), pp. 408-419
Persistent link: https://www.econbiz.de/10012417252
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Dynamic portfolio choice with return predictability and transaction costs
Ma, Guiyuan; Siu, Chi Chung; Zhu, Song-Ping - In: European journal of operational research : EJOR 278 (2019) 3, pp. 976-988
Persistent link: https://www.econbiz.de/10012102528
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Dynamic asset allocation with event risk, transaction costs and predictable returns
Simonato, Jean-Guy - In: Mathematics and financial economics 12 (2018) 4, pp. 561-587
Persistent link: https://www.econbiz.de/10011963881
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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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Investment-consumption optimization with transaction cost and learning about return predictability
Wang, Ning; Siu, Tak Kuen - In: European journal of operational research : EJOR 318 (2024) 3, pp. 877-891
Persistent link: https://www.econbiz.de/10015048184
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Return based risk measures for non-normally distributed returns : an alternative modelling approach
Samunderu, Eyden; Murahwa, Yvonne T. - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-48
assumptions alone in measuring risk. Cushioning against risk has always created a plethora of complexities and challenges; hence …, this paper attempts to analyse statistical properties of various risk measures in a not normal distribution and provide a … financial blueprint on how to manage risk. It is assumed that using old assumptions of normality alone in a distribution is not …
Persistent link: https://www.econbiz.de/10012795821