Large-scale portfolio allocation under transaction costs and model uncertainty
Nikolaus Hautsch, Stefan Voigt
| Year of publication: |
2019
|
|---|---|
| Authors: | Hautsch, Nikolaus ; Voigt, Stefan |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 212.2019, 1, p. 221-240
|
| Subject: | High frequency data | Model uncertainty | Portfolio choice | Regularization | Transaction costs | Portfolio-Management | Portfolio selection | Transaktionskosten | Theorie | Theory | Kapitaleinkommen | Capital income | Risiko | Risk | Entscheidung unter Unsicherheit | Decision under uncertainty |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2019.04.028 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012303923