Discrete Portfolio Adjustment with Fixed Transaction Costs
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Maxime Bonelli & Mireille Bossy, 2017. "Portfolio Management with Drawdown Constraint: An Analysis of Optimal Investment," Working Papers hal-02282162, HAL.
- Vladimir Cherny & Jan Obłój, 2013. "Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model," Finance and Stochastics, Springer, vol. 17(4), pages 771-800, October.
- Brad M. Barber & Terrance Odean, 2001. "Boys will be Boys: Gender, Overconfidence, and Common Stock Investment," The Quarterly Journal of Economics, Oxford University Press, vol. 116(1), pages 261-292.
- Zabel, Edward, 1973. "Consumer Choice, Portfolio Decisions, and Transaction Costs," Econometrica, Econometric Society, vol. 41(2), pages 321-335, March.
- Vladimir Cherny & Jan Obloj, 2011. "Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model," Papers 1110.6289, arXiv.org, revised Apr 2013.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Ankush Agarwal & Ronnie Sircar, 2017. "Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio," Working Papers hal-01388399, HAL.
- Long Bai & Peng Liu, 2019. "Drawdown and Drawup for Fractional Brownian Motion with Trend," Journal of Theoretical Probability, Springer, vol. 32(3), pages 1581-1612, September.
- Landriault, David & Li, Bin & Li, Shu, 2015. "Analysis of a drawdown-based regime-switching Lévy insurance model," Insurance: Mathematics and Economics, Elsevier, vol. 60(C), pages 98-107.
- Li, Shu & Zhou, Xiaowen, 2022. "The Parisian and ultimate drawdowns of Lévy insurance models," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 140-160.
- Sergio Ortobelli Lozza & Enrico Angelelli & Alda Ndoci, 2019. "Timing portfolio strategies with exponential Lévy processes," Computational Management Science, Springer, vol. 16(1), pages 97-127, February.
- Paolo Guasoni & Jan Obłój, 2016. "The Incentives Of Hedge Fund Fees And High-Water Marks," Mathematical Finance, Wiley Blackwell, vol. 26(2), pages 269-295, April.
- Stanislaus Maier-Paape & Andreas Platen & Qiji Jim Zhu, 2019. "A General Framework for Portfolio Theory. Part III: Multi-Period Markets and Modular Approach," Risks, MDPI, vol. 7(2), pages 1-31, June.
- Wang, Wenyuan & Chen, Ping & Li, Shuanming, 2020. "Generalized expected discounted penalty function at general drawdown for Lévy risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 12-25.
- Baurdoux, E.J. & Palmowski, Z. & Pistorius, M.R., 2017. "On future drawdowns of Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 127(8), pages 2679-2698.
- Leonie Violetta Brinker, 2021. "Minimal Expected Time in Drawdown through Investment for an Insurance Diffusion Model," Risks, MDPI, vol. 9(1), pages 1-18, January.
- Chen, Xinfu & Landriault, David & Li, Bin & Li, Dongchen, 2015. "On minimizing drawdown risks of lifetime investments," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 46-54.
- Ankush Agarwal & Ronnie Sircar, 2016. "Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio," Papers 1610.08558, arXiv.org.
- David Landriault & Bin Li & Hongzhong Zhang, 2017. "A Unified Approach for Drawdown (Drawup) of Time-Homogeneous Markov Processes," Papers 1702.07786, arXiv.org.
- Baurdoux, Erik J. & Palmowski, Z & Pistorius, Martijn R, 2017. "On future drawdowns of Lévy processes," LSE Research Online Documents on Economics 84342, London School of Economics and Political Science, LSE Library.
- Bobba, Matteo & Frisancho, Veronica, 2022.
"Self-perceptions about academic achievement: Evidence from Mexico City,"
Journal of Econometrics, Elsevier, vol. 231(1), pages 58-73.
- Matteo Bobba & Veronica Frisancho, 2020. "Self-Perceptions about Academic Achievement: Evidence from Mexico City," Post-Print hal-03597939, HAL.
- Bobba, Matteo & Frisancho, Veronica, 2020. "Self-Perceptions about Academic Achievement: Evidence from Mexico City," TSE Working Papers 20-1070, Toulouse School of Economics (TSE).
- Bobba, Matteo & Frisancho, Veronica, 2020. "Self-Perceptions about Academic Achievement: Evidence from Mexico City," IZA Discussion Papers 12945, Institute of Labor Economics (IZA).
- Bobba, Matteo & Frisancho, Verónica, 2020. "Self-Perceptions about Academic Achievement: Evidence from Mexico City," IDB Publications (Working Papers) 10117, Inter-American Development Bank.
- Jason M. Lindo & Nicholas J. Sanders & Philip Oreopoulos, 2010.
"Ability, Gender, and Performance Standards: Evidence from Academic Probation,"
American Economic Journal: Applied Economics, American Economic Association, vol. 2(2), pages 95-117, April.
- Jason M. Lindo & Nicholas J. Sanders & Philip Oreopoulos, 2008. "Ability, Gender, and Performance Standards: Evidence from Academic Probation," NBER Working Papers 14261, National Bureau of Economic Research, Inc.
- Prokudina, Elena & Renneboog, Luc & Tobler, Philippe, 2015.
"Does Confidence Predict Out-of-Domain Effort?,"
Discussion Paper
2015-055, Tilburg University, Center for Economic Research.
- Prokudina, Elena & Renneboog, Luc & Tobler, Philippe, 2015. "Does Confidence Predict Out-of-Domain Effort?," Other publications TiSEM 2a1830fc-471f-45a3-b9b0-a, Tilburg University, School of Economics and Management.
- Kazi Iqbal & Asad Islam & John List & Vy Nguyen, 2021.
"Myopic Loss Aversion and Investment Decisions: From the Laboratory to the Field,"
Framed Field Experiments
000730, The Field Experiments Website.
- Kazi Iqbal & Asadul Islam & John A. List & Vy Nguyen, 2021. "Myopic Loss Aversion and Investment Decisions: from the Laboratory to the Field," NBER Working Papers 28730, National Bureau of Economic Research, Inc.
- V. Bhaskar & Caroline Thomas, 2019.
"The Culture of Overconfidence,"
American Economic Review: Insights, American Economic Association, vol. 1(1), pages 95-110, June.
- Bhaskar, Venkataraman & Thomas, Caroline, 2018. "The culture of overconfidence," CEPR Discussion Papers 12740, C.E.P.R. Discussion Papers.
- van Rijn, Jordan, 2018. "The Effect of Membership Expansion on Credit Union Risk and Returns," Staff Paper Series 588, University of Wisconsin, Agricultural and Applied Economics.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rfb:journl:v:08:y:2016:i:2:p:055-060. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: . General contact details of provider: https://edirc.repec.org/data/ffasero.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tatu Lucian (email available below). General contact details of provider: https://edirc.repec.org/data/ffasero.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.