The role of transaction costs and risk aversion when selecting between one and two regimes for portfolio models

Emmanouil Platanakis, Athanasios Sakkas and Charles Sutcliffe

Year of publication:	2019
Authors:	Platanakis, Emmanouil ; Sakkas, Athanasios ; Sutcliffe, Charles M. S.
Subject:	constant relative risk aversion \| Portfolio theory \| regime shifting \| risk aversion \| transaction costs \| Transaktionskosten \| Transaction costs \| Theorie \| Theory \| Risikoaversion \| Risk aversion \| Portfolio-Management \| Portfolio selection \| Risiko \| Risk

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