Narrow search
Showing 1 - 10 of 27,534
Cover Image
Parameter Uncertainty in Multiperiod Portfolio Optimization with Transaction Costs
DeMiguel, Victor - 2014
We study the impact of parameter uncertainty on the expected utility of a multiperiod investor subject to quadratic transaction costs. We characterize the utility loss associated with ignoring parameter uncertainty, and show that it is equal to the product between the single-period utility loss...
Persistent link: https://www.econbiz.de/10013063484
Cover Image
Parameter uncertainty in multiperiod portfolio optimization with transaction costs
DeMiguel, Victor; Martín-Utrera, Alberto; Nogales, … - In: Journal of financial and quantitative analysis : JFQA 50 (2015) 6, pp. 1443-1471
Persistent link: https://www.econbiz.de/10011479445
Cover Image
Testing for mean-variance spanning with short sales constraints and transaction costs : the case of emerging markets
Roon, Frans de; Nijman, Theodore E.; Werker, Bas J. M. - 1998
Persistent link: https://www.econbiz.de/10000978825
Cover Image
Testing for mean-variance spanning with short sales constraints and transaction costs : the case of emerging markets
Roon, Frans de; Nijman, Theodore E.; Werker, Bas J. M. - 1997
Persistent link: https://www.econbiz.de/10000969024
Cover Image
Forward discount bias : is it near-rationality in the foreign exchange market?
Gruen, David W. R. - In: The economic record : er 71 (1995) 213, pp. 157-166
Persistent link: https://www.econbiz.de/10001186623
Cover Image
Genetic algorithm-based portfolio optimization with higher moments in global stock markets
Kshatriya, Saranya; Prasanna, Krishna - In: Journal of risk 20 (2017/2018) 4, pp. 1-26
Persistent link: https://www.econbiz.de/10011848918
Cover Image
Characteristics-based portfolio choice with leverage constraints
Ammann, Manuel; Coqueret, Guillaume; Schade, Jan-Philip - In: Essays on factor investing and social trading, (pp. 2-47). 2017
die praktische Implementierung vereinfacht werden. Zudem können Transaktionskosten, negative Portfoliogewichte, die …
Persistent link: https://www.econbiz.de/10011775041
Cover Image
New operational approaches for financial modelling
Zopounidis, Constantin (ed.) - 1997
Persistent link: https://www.econbiz.de/10014267884
Cover Image
Asset Allocation Ansätze zur Bildung von internationaldiversifizierten Portfolios : eine Analyse auf Basis historischer Daten
Eberhard, Jochen - 2012
Persistent link: https://www.econbiz.de/10013436405
Cover Image
International equity portfolio allocations and transaction costs
Thapa, Chandra; Poshakwale, Sunil S. - In: Journal of banking & finance 34 (2010) 11, pp. 2627-2638
Persistent link: https://www.econbiz.de/10008858853