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  • Search: subject:"optimal trading frequency"
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Subject
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Anlageverhalten 1 Behavioural finance 1 Financial investment 1 Kapitalanlage 1 Portfolio selection 1 Portfolio-Management 1 Securities trading 1 Theorie 1 Theory 1 Transaction costs 1 Transaktionskosten 1 Wertpapierhandel 1 multiple assets 1 optimal investment 1 optimal trading frequency 1 transaction costs 1
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Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Type of publication (narrower categories)
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Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 1
Author
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Ekren, Ibrahim 1 Liu, Ren 1 Muhle-Karbe, Johannes 1
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Research paper series / Swiss Finance Institute 1 Swiss Finance Institute Research Paper 1
Source
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ECONIS (ZBW) 1
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Optimal rebalancing frequencies for multidimensional portfolios
Ekren, Ibrahim; Liu, Ren; Muhle-Karbe, Johannes - 2015
We study optimal investment with multiple assets in the presence of small proportional transaction costs. Rather than computing an asymptotically optimal no-trade region, we optimize over suitable trading frequencies. We derive explicit formulas for these and the associated welfare losses due to...
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