Optimal Investment Under Transaction Costs
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Michael W. Brandt & Pedro Santa-Clara & Rossen Valkanov, 2009.
"Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns,"
Review of Financial Studies, Society for Financial Studies, vol. 22(9), pages 3411-3447, September.
- Michael W. Brandt & Pedro Santa-Clara & Rossen Valkanov, 2004. "Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns," NBER Working Papers 10996, National Bureau of Economic Research, Inc.
- Brandt, Michael W & Santa-Clara, Pedro & Valkanov, Rossen, 2005. "Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns," University of California at Los Angeles, Anderson Graduate School of Management qt4ft420b6, Anderson Graduate School of Management, UCLA.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
- Michael Taksar & Michael J. Klass & David Assaf, 1988. "A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees," Mathematics of Operations Research, INFORMS, vol. 13(2), pages 277-294, May.
- M. H. A. Davis & A. R. Norman, 1990. "Portfolio Selection with Transaction Costs," Mathematics of Operations Research, INFORMS, vol. 15(4), pages 676-713, November.
- Markowitz, Harry M, 1991.
"Foundations of Portfolio Theory,"
Journal of Finance, American Finance Association, vol. 46(2), pages 469-477, June.
- Markowitz, Harry M., 1990. "Foundations of Portfolio Theory," Nobel Prize in Economics documents 1990-1, Nobel Prize Committee.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Fotis Papailias & Dimitrios Thomakos, 2015.
"Covariance averaging for improved estimation and portfolio allocation,"
Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(1), pages 31-59, February.
- Dimitrios D. Thomakos & Fotis Papailias, 2013. "Covariance Averaging for Improved Estimation and Portfolio Allocation," Working Paper series 66_13, Rimini Centre for Economic Analysis.
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.- Hautsch, Nikolaus & Voigt, Stefan, 2019.
"Large-scale portfolio allocation under transaction costs and model uncertainty,"
Journal of Econometrics, Elsevier, vol. 212(1), pages 221-240.
- Hautsch, Nikolaus & Voigt, Stefan, 2017. "Large-scale portfolio allocation under transaction costs and model uncertainty," CFS Working Paper Series 582, Center for Financial Studies (CFS).
- Nikolaus Hautsch & Stefan Voigt, 2017. "Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty," Papers 1709.06296, arXiv.org, revised Jun 2018.
- Jan Kallsen & Johannes Muhle-Karbe, 2013. "The General Structure of Optimal Investment and Consumption with Small Transaction Costs," Papers 1303.3148, arXiv.org, revised May 2015.
- Stefan Gerhold & Paolo Guasoni & Johannes Muhle-Karbe & Walter Schachermayer, 2014. "Transaction costs, trading volume, and the liquidity premium," Finance and Stochastics, Springer, vol. 18(1), pages 1-37, January.
- Haixiang Yao & Xun Li & Zhifeng Hao & Yong Li, 2016. "Dynamic asset–liability management in a Markov market with stochastic cash flows," Quantitative Finance, Taylor & Francis Journals, vol. 16(10), pages 1575-1597, October.
- Ricardo Pereira, 2007. "The Cost Of Equity Of Portuguese Public Firms: A Downside Risk Approach," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 0(1), pages 7-25.
- Colin Atkinson & Emmeline Storey, 2010. "Building an Optimal Portfolio in Discrete Time in the Presence of Transaction Costs," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(4), pages 323-357.
- Markowitz, Harry, 2014. "Mean–variance approximations to expected utility," European Journal of Operational Research, Elsevier, vol. 234(2), pages 346-355.
- Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2016.
"Efficient skewness/semivariance portfolios,"
Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 331-346, September.
- Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2015. "Efficient Skewness/Semivariance Portfolios," GEMF Working Papers 2015-05, GEMF, Faculty of Economics, University of Coimbra.
- Villena, Marcelo J. & Reus, Lorenzo, 2016. "On the strategic behavior of large investors: A mean-variance portfolio approach," European Journal of Operational Research, Elsevier, vol. 254(2), pages 679-688.
- Muthuraman, Kumar, 2007. "A computational scheme for optimal investment - consumption with proportional transaction costs," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1132-1159, April.
- David E. Allen & Michael McAleer & Shelton Peiris & Abhay K. Singh, 2014.
"Hedge Fund Portfolio Diversification Strategies Across the GFC,"
Working Papers in Economics
14/27, University of Canterbury, Department of Economics and Finance.
- David E. Allen & Michael McAleer & Shelton Peiris & Abhay K. Singh, 2014. "Hedge Fund Portfolio Diversification Strategies Across the GFC," Documentos de Trabajo del ICAE 2014-32, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- David E. Allen & Michael McAleer & Shelton Peiris & Abhay K. Singh, 2014. "Hedge Fund Portfolio Diversification Strategies across the GFC," Tinbergen Institute Discussion Papers 14-151/III, Tinbergen Institute.
- Ammann, Manuel & Coqueret, Guillaume & Schade, Jan-Philip, 2016.
"Characteristics-based portfolio choice with leverage constraints,"
Journal of Banking & Finance, Elsevier, vol. 70(C), pages 23-37.
- Ammann, Manuel & Coqueret, Guillaume & Schade, Jan-Philip, 2016. "Characteristics-based Portfolio Choice with Leverage Constraints," Working Papers on Finance 1607, University of St. Gallen, School of Finance.
- Wang, Christina Dan & Chen, Zhao & Lian, Yimin & Chen, Min, 2022. "Asset selection based on high frequency Sharpe ratio," Journal of Econometrics, Elsevier, vol. 227(1), pages 168-188.
- Briec, Walter & Kerstens, Kristiaan, 2010.
"Portfolio selection in multidimensional general and partial moment space,"
Journal of Economic Dynamics and Control, Elsevier, vol. 34(4), pages 636-656, April.
- W. Briec & K. Kerstens, 2007. "Portfolio selection in multidimensional general and partial moment space," Post-Print hal-00296711, HAL.
- Walter Briec & Kristiaan Kerstens, 2009. "Portfolio Selection in Multidimensional General and Partial Moment Space," Working Papers 2009-ECO-08, IESEG School of Management.
- W. Briec & K. Kerstens, 2010. "Portfolio selection in multidimensional general and partial moment space," Post-Print halshs-00473219, HAL.
- Jesus Crespo Cuaresma & Ines Fortin & Jaroslava Hlouskova, 2018.
"Exchange rate forecasting and the performance of currency portfolios,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(5), pages 519-540, August.
- Crespo Cuaresma, Jesus & Fortin, Ines & Hlouskova, Jaroslava, 2017. "Exchange rate forecasting and the performance of currency portfolios," Economics Series 326, Institute for Advanced Studies.
- Narayan, Seema & Narayan, Paresh Kumar, 2012.
"Do US macroeconomic conditions affect Asian stock markets?,"
Journal of Asian Economics, Elsevier, vol. 23(6), pages 669-679.
- Narayan, Seema & Narayan, Paresh Kumar, 2011. "Did the US macroeconomic conditions affect Asian stock markets?," Working Papers fe_2011_13, Deakin University, Department of Economics.
- Füss, Roland & Miebs, Felix & Trübenbach, Fabian, 2014. "A jackknife-type estimator for portfolio revision," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 14-28.
- Lassance, Nathan & Vrins, Frédéric, 2021.
"Portfolio selection with parsimonious higher comoments estimation,"
Journal of Banking & Finance, Elsevier, vol. 126(C).
- Lassance, Nathan & Vrins, Frédéric, 2021. "Portfolio selection with parsimonious higher comoments estimation," LIDAM Reprints LFIN 2021005, Université catholique de Louvain, Louvain Finance (LFIN).
- Jérôme Héricourt & Clément Nedoncelle, 2015. "Relative Real Exchange-Rate Volatility, Multi-Destination Firms and Trade: Micro Evidence and Aggregate Implications," Working Papers 2015-03, CEPII research center.
- David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2015.
"Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC,"
Documentos de Trabajo del ICAE
2015-19, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- David E. Allen & Michael McAleer & Robert J. Powell & Abbay K. Singh, 2015. "Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC," Tinbergen Institute Discussion Papers 15-122/III, Tinbergen Institute.
- Allen, D.E. & McAleer, M.J. & Powell, R.J. & Singh, A.K., 2015. "Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC," Econometric Institute Research Papers EI2015-32, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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:arx:papers:1203.4153. 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: http://arxiv.org/ .
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: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.