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Transactions costs and the equity premium puzzle

Hong, Sanghyun - 2020

Persistent link: https://www.econbiz.de/10012426834

Transactions costs and the equity premium puzzle

Hong, Sanghyun - In: Finance research letters 49 (2022), pp. 1-6

Persistent link: https://www.econbiz.de/10013479624

Notes on Fano ratio and portfolio optimization

Kakushadze, Zura; Yu, Willie - In: Journal of risk & control 5 (2018) 1, pp. 1-33

Persistent link: https://www.econbiz.de/10012229128

Maximizing excess return per unit variance : a novel investment management objective

Glabadanidis, Paskalis - In: The journal of asset management 17 (2016) 7, pp. 486-501

Persistent link: https://www.econbiz.de/10011648208

A common pattern across asset pricing anomalies

Božović, Miloš - In: Finance research letters 48 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013464296

A spectral model of turnover reduction

Kakushadze, Zura - In: Econometrics : open access journal 3 (2015) 3, pp. 577-589

platform and trades are crossed internally. We model turnover reduction via alpha correlations. Then, for a large number of … alphas, turnover reduction is related to the largest eigenvalue and the corresponding eigenvector of the alpha correlation …

Persistent link: https://www.econbiz.de/10011410628