Discrete-Time Implementation of Continuous-Time Portfolio Strategies
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Other versions of this item:
- Nicole Branger & Beate Breuer & Christian Schlag, 2010. "Discrete-time implementation of continuous-time portfolio strategies," The European Journal of Finance, Taylor & Francis Journals, vol. 16(2), pages 137-152.
References listed on IDEAS
- Leland, Hayne E., 1999. "Optimal Portfolio Management with Transactions Costs and Capital Gains Taxes," Research Program in Finance, Working Paper Series qt0fw6k0hm, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Branger, Nicole & Hansis, Alexandra, 2012. "Asset allocation: How much does model choice matter?," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1865-1882.
More about this item
KeywordsAsset Allocation; Discrete Trading; Use of Derivatives;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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