This paper presents a closed form solution to the portfolio adjustment problem in discrete time when the investor faces fixed transaction costs. This transaction cost model assumes a mean-variance investor who wants to adjust her holdings of a risky and risk-free asset. It is shown how this...

We look at the association between the price of a cryptocurrency and the secondary market prices of the hardware used to mine it. We find the prices of the most efficient Graphical Processing Units (GPUs) for Ethereum mining are significantly positively correlated with the daily price returns to...

In the context of modern portfolio theory (MPT), the actual weights of the market portfolio and cash are determined by investor preferences for risk and return. Value at risk (VaR) models specify losses with a percent frequency. VaR models are popular because they are easy to explain and...