Picking a thorny rose : optimal trading with spread-based return predictability
Linjun Feng, Ya Li, Jing Xu
| Year of publication: |
2024
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|---|---|
| Authors: | Feng, Linjun ; Li, Ya ; Xu, Jing |
| Published in: |
European financial management : the journal of the European Financial Management Association. - Oxford : Wiley-Blackwell, ISSN 1468-036X, ZDB-ID 1480712-9. - Vol. 30.2024, 4, p. 2343-2375
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| Subject: | bid-ask spread | portfolio choice | return predictability | transaction cost | Portfolio-Management | Portfolio selection | Transaktionskosten | Transaction costs | Geld-Brief-Spanne | Bid-ask spread | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Theorie | Theory | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/eufm.12476 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015142018