Similar Search Results

Connections between discrete-time and continuous-time financial models

Sun, Tong-sheng - 1987

Persistent link: https://www.econbiz.de/10000167721

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

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

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 aversion (CARA) agent, who faces execution costs when trading correlated risky assets with return predictability. The optimal investment strategy indicates that the agent should trade...

Persistent link: https://www.econbiz.de/10012871582

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

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

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

Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints

Yamada, Yuji; Primbs, James A. - In: Asia-Pacific financial markets 25 (2018) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10012032980

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

Optimal trading with transaction costs and short-term predictability

Murthy, Shashidhar; Wald, John K. - In: Quantitative finance 23 (2023) 7/8, pp. 1115-1127

Persistent link: https://www.econbiz.de/10014321667

1
2
3
4
5
6
7
8
9
10
Next
Last