When "time varying" volatility meets "transaction cost" in portfolio selection
W. Qiao, D. Bu, A. Gibberd, Y. Liao, T. Wen, E. Li
| Year of publication: |
2023
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|---|---|
| Authors: | Qiao, W. ; Bu, Di ; Gibberd, Alex J. ; Liao, Yin ; Wen, Ting ; Li, E. |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 73.2023, p. 220-237
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| Subject: | Covariance matrix | Large scale portfolio | Sparse time variation | Structural change | Transaction cost | Portfolio-Management | Portfolio selection | Transaktionskosten | Transaction costs | Volatilität | Volatility | Korrelation | Correlation | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2023.06.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014477015