Citations for "Predictability and Transaction Costs: The Impact on Rebalancing Rules and Behavior"
by Anthony W. Lynch & Pierluigi Balduzzi
- Dimitri Vayanos & Jiang Wang, 2012.
"Market Liquidity - Theory and Empirical Evidence,"
FMG Discussion Papers
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- Frank Milne & Edwin Neave, 2003. "A General Equilibrium Financial Asset Economy with Transaction Costs and Trading Constraints," Working Papers 1082, Queen's University, Department of Economics.
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- Chacko, George & Viceira, Luis M, 2005.
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CEPR Discussion Papers
4913, C.E.P.R. Discussion Papers.
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"International Asset Allocation: A New Perspective,"
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- Massimo Guidolin & Stuart Hyde, 2011.
"Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective,"
414, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
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- Jarraya, Bilel & Bouri, Abdelfettah, 2013. "A Theoretical Assessment on Optimal Asset Allocations in Insurance Industry," MPRA Paper 53534, University Library of Munich, Germany, revised 2013.
- Jan Kallsen & Johannes Muhle-Karbe, 2013. "The General Structure of Optimal Investment and Consumption with Small Transaction Costs," Papers 1303.3148, arXiv.org.
- Buss, Adrian & Uppal, Raman & Vilkov, Grigory, 2014. "Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs," SAFE Working Paper Series 41, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
- Jennie Bai, 2010. "Equity premium predictions with adaptive macro indexes," Staff Reports 475, Federal Reserve Bank of New York.
- Frank Milne, 2008. "Credit Crises, Risk Management Systems and Liquidity Modelling," Working Papers 1, John Deutsch Institute for the Study of Economic Policy.
- Gallmeyer, Michael F. & Kaniel, Ron & Tompaidis, Stathis, 2006. "Tax management strategies with multiple risky assets," Journal of Financial Economics, Elsevier, vol. 80(2), pages 243-291, May.
- Marekwica, Marcel & Stamos, Michael Z., 2010. "Optimal life cycle portfolio choice with housing market cycles," CFS Working Paper Series 2010/21, Center for Financial Studies (CFS).
- Garleanu, Nicolae Bogdan & Pedersen, Lasse Heje, 2009.
"Dynamic Trading with Predictable Returns and Transaction Costs,"
CEPR Discussion Papers
7392, C.E.P.R. Discussion Papers.
- Nicolae Gârleanu & Lasse Heje Pedersen, 2013. "Dynamic Trading with Predictable Returns and Transaction Costs," Journal of Finance, American Finance Association, vol. 68(6), pages 2309-2340, December.
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- Ronald J. Balvers & Yangru Wu, 2005.
"Optimal Transaction Filters Under Transitory Trading Opportunities: Theory and Empirical Illustration,"
022005, Hong Kong Institute for Monetary Research.
- Balvers, Ronald & Wu, Yangru, 2010. "Optimal transaction filters under transitory trading opportunities: Theory and empirical illustration," Journal of Financial Markets, Elsevier, vol. 13(1), pages 129-156, February.
- Lioui, Abraham & Poncet, Patrice, 2002. "Optimal currency risk hedging," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 241-264, April.
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- Nicholas S. Souleles, . "Household Securities Purchases, Transactions Costs, and Hedging Motives," Rodney L. White Center for Financial Research Working Papers 24-99, Wharton School Rodney L. White Center for Financial Research.
- Julie Agnew & Pierluigi Balduzzi & Annika Sundén, 2003. "Portfolio Choice and Trading in a Large 401(k) Plan," American Economic Review, American Economic Association, vol. 93(1), pages 193-215, March.
- Albert Altarovici & Johannes Muhle-Karbe & H. Mete Soner, 2013. "Asymptotics for Fixed Transaction Costs," Papers 1306.2802, arXiv.org, revised Oct 2013.