Multiple Risky Assets, Transaction Costs, and Return Predictability: Allocation Rules and Implications for U.S. Investors
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- Mark Broadie & Weiwei Shen, 2016. "High-Dimensional Portfolio Optimization With Transaction Costs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-49, June.
- Illeditsch, PK & Ganguli, J & Condie, S, 2017. "Information Inertia (Working Paper)," Economics Discussion Papers 15615, University of Essex, Department of Economics.
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- Michal Czerwonko & Stylianos Perrakis, 2016. "Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics I: A Numerical Solution," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(04), pages 1-23, December.
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- Fischer, Marcel & Gallmeyer, Michael F., 2016. "Heuristic portfolio trading rules with capital gain taxes," Journal of Financial Economics, Elsevier, vol. 119(3), pages 611-625.
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- Mark Broadie & Weiwei Shen, 2017. "Numerical solutions to dynamic portfolio problems with upper bounds," Computational Management Science, Springer, vol. 14(2), pages 215-227, April.
- Ganguli, J & Condie, S & Illeditsch, PK, 2012. "Information Inertia," Economics Discussion Papers 5628, University of Essex, Department of Economics.
- Mei, Xiaoling & DeMiguel, Victor & Nogales, Francisco J., 2016. "Multiperiod portfolio optimization with multiple risky assets and general transaction costs," Journal of Banking & Finance, Elsevier, vol. 69(C), pages 108-120.
- David B. Brown & James E. Smith, 2011. "Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds," Management Science, INFORMS, vol. 57(10), pages 1752-1770, October.
- Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2016. "Dynamic Portfolio Optimization with Liquidity Cost and Market Impact: A Simulation-and-Regression Approach," Papers 1610.07694, arXiv.org, revised Oct 2017.
- Sabastine Mushori & Delson Chikobvu, 2016. "A Stochastic Multi-stage Trading Cost model in optimal portfolio selection," EERI Research Paper Series EERI RP 2016/23, Economics and Econometrics Research Institute (EERI), Brussels.
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