Dynamic portfolio choice with return predictability and transaction costs
Guiyuan Ma, Chi Chung Siu, Song-Ping Zhu
| Year of publication: |
2019
|
|---|---|
| Authors: | Ma, Guiyuan ; Siu, Chi Chung ; Zhu, Song-Ping |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 278.2019, 3 (1.11.), p. 976-988
|
| Subject: | Finance | Continuous-time portfolio choice | Return predictability | Linear price impact | Quadratic transaction cost | Portfolio-Management | Portfolio selection | Transaktionskosten | Transaction costs | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Theorie | Theory | Anlageverhalten | Behavioural finance | Kapitalmarktrendite | Capital market returns |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2019.05.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012102528