Xiong, Anqi; Akansu, Ali N. - In: Journal of Capital Markets Studies (JCMS) 3 (2019) 1, pp. 82-90
Purpose - Transaction cost becomes significant when one holds many securities in a large portfolio where capital allocations are frequently rebalanced due to variations in non-stationary statistical characteristics of the asset returns. The purpose of this paper is to employ a sparsing method to...
