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Long horizons, high risk aversion, and endogenous spreads

Guasoni, Paolo; Muhle-Karbe, Johannes - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 724-753

Persistent link: https://www.econbiz.de/10011350524

Multivariate risk measures : a constructive approach based on selections

Molčanov, Il'ja S.; Cascos, Ignacio - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 867-900

Persistent link: https://www.econbiz.de/10011583808

Risk constraints for portfolio optimization with fixed-fee transaction cost

Hirsch, Michael J.; Navarro, Nicole - In: The journal of investment strategies 6 (2017) 2, pp. 91-112

Persistent link: https://www.econbiz.de/10011668136

A stability approach to mean-variance optimization

Kourtis, Apostolos - In: The financial review : the official publication of the … 50 (2015) 3, pp. 301-330

Persistent link: https://www.econbiz.de/10011338156

The role of transaction costs and risk aversion when selecting between one and two regimes for portfolio models

Platanakis, Emmanouil; Sakkas, Athanasios; Sutcliffe, … - In: Applied economics letters 26 (2019) 6, pp. 516-521

Persistent link: https://www.econbiz.de/10012204261

Large-scale portfolio allocation under transaction costs and model uncertainty

Hautsch, Nikolaus; Voigt, Stefan - 2017

We theoretically and empirically study large-scale portfolio allocation problems when transaction costs are taken into account in the optimization problem. We show that transaction costs act on the one hand as a turnover penalization and on the other hand as a regularization, which shrinks the...

Persistent link: https://www.econbiz.de/10011755791

Scaled and stable mean-variance-EVaR portfolio selection strategy with proportional transaction costs

Mills, Ebenezer Atta; Yu, Bo; Yu, Jie - In: Journal of business economics and management 18 (2017) 4, pp. 561-584

Persistent link: https://www.econbiz.de/10011780733

Limit theorems for partial hedging under transaction costs

Dolinsky, Yan - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 567-597

Persistent link: https://www.econbiz.de/10010486001

Vector-valued coherent risk measure processes

Tahar, Imen Ben; Lépinette, Emmanuel - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10010363907

Discrete-time risk sensitive portfolio optimization with proportional transaction costs

Pitera, Marcin; Stettner, Łukasz - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1287-1313

Persistent link: https://www.econbiz.de/10014370659

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