Importance of transaction costs for asset allocation in foreign exchange markets
Ilias Filippou, Thomas A. Maurer, Luca Pezzo, Mark P. Taylor
| Year of publication: |
2024
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| Authors: | Filippou, Ilias ; Maurer, Thomas ; Pezzo, Luca ; Taylor, Mark P. |
| Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 1460384-6. - Vol. 159.2024, Art.-No. 103886, p. 1-20
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| Subject: | Transaction costs | Price impact | Realized Amihud | Mean-variance | Optimization | Asset allocation | Foreign exchange | Carry trade | Transaktionskosten | Portfolio-Management | Portfolio selection | Devisenmarkt | Foreign exchange market | Theorie | Theory | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jfineco.2024.103886 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015072587