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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

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

No-arbitrage pricing for dividend-paying securities in discrete-time markets with transaction costs

Bielecki, Tomasz R.; Cialenco, Igor; Rodriguez, Rodrigo - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 673-701

Persistent link: https://www.econbiz.de/10011350542

Von Neumann-Gale dynamics and capital growth in financial markets with frictions

Babaei, E.; Evstigneev, Igor V.; Schenk-Hoppé, Klaus Reiner - 2018

Persistent link: https://www.econbiz.de/10011938726

Dynamic risk management of multi-asset portfolios

Groll, Christian - 2017

Persistent link: https://www.econbiz.de/10012202863

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

High order portfolio optimization problem with transaction costs

Li, Xin; Zhang, Peiai - In: Modern economy 10 (2019) 6, pp. 1507-1525

Persistent link: https://www.econbiz.de/10012178810

Minimizing the probability of lifetime ruin : two riskless assets with transaction costs

Liang, Xiaoqing; Young, Virginia R. - In: Astin bulletin : the journal of the International … 49 (2019) 3, pp. 847-883

Persistent link: https://www.econbiz.de/10012125302

Single- and multiplayer trade execution strategies under transient price impact

Strehle, Elias - 2017

Persistent link: https://www.econbiz.de/10012197703

The general structure of optimal investment and consumption with small transaction costs

Kallsen, Jan; Muhle-Karbe, Johannes - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 659-703

Persistent link: https://www.econbiz.de/10011764966

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