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Dynamic Asset Allocation With Event Risk, Transaction Costs and Predictable Returns

Simonato, Jean-Guy - 2018

We examine the interplay between event risk, transaction costs and predictability on the dynamic asset allocation of an investor with discrete trading opportunities. The model is calibrated to the U.S. stock market and a Gauss-Hermite quadrature approach is used to solve the investor's dynamic...

Persistent link: https://www.econbiz.de/10012921272

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

Dynamische Portfolio-Selektion : eine Analyse unter Einbeziehung von Kurssprüngen und Transaktionskosten

Nietert, Bernhard - 1996

Persistent link: https://www.econbiz.de/10013420731

Stock trading strategies are formulated by a stock classification model

Lin, Chin-tsai; Hwang, Shiuh-nan; Chuang, Wang-ching - In: The Indian journal of economics 88 (2007) 2, pp. 281-305

Persistent link: https://www.econbiz.de/10003711303

Why a simple herding model may generate the stylized facts of daily returns : explanation and estimation

Franke, Reiner; Westerhoff, Frank H. - 2011

the demand per fundamentalist trader, which implies a structural stochastic volatility in the returns. Combining … also makes sure that the estimated structural parameters are well identified. -- Structural stochastic volatility ; method …