Similar Search Results

Dynamic risk management of multi-asset portfolios

Groll, Christian - 2017

Persistent link: https://www.econbiz.de/10012202863

On the optimal selection of portfolios under limited diversification

Sankaran, Jayaram K.; Patil, Ajay A. - In: Journal of banking & finance 23 (1999) 11, pp. 1655-1666

Persistent link: https://www.econbiz.de/10001415167

Frictional costs of diversification

Scherer, Bernd - In: The journal of portfolio management : a publication of … 39 (2013) 3, pp. 7-9

Persistent link: https://www.econbiz.de/10009750773

Frontier market transaction costs and diversification

Marshall, Ben R.; Nguyen, Nhut; Visaltanachoti, Nuttawat - In: Journal of financial markets 24 (2015), pp. 1-24

Persistent link: https://www.econbiz.de/10011477227

Relative liquidity and future volatility

Valenzuela, Marcela; Zer, Ilknur; Fryzlewicz, Piotr; … - In: Journal of financial markets 24 (2015), pp. 25-48

Persistent link: https://www.econbiz.de/10011477230

A posteriori multistage optimal trading under transaction costs and a diversification constraint

Plessen, Mogens Graf; Bemporad, Alberto - In: The journal of trading 13 (2018) 3, pp. 67-83

Persistent link: https://www.econbiz.de/10011905564

Realized diversification benefits of risk portfolio models

Chiou, Wan-jiun Paul; Lee, Wen-Yi; Yu, Jing-Rung - 2024

Persistent link: https://www.econbiz.de/10015045546

Portfolio revision and optimal diversification strategy choices

Mroua, Mourad; Abid, Fathi - In: International Journal of Managerial Finance 10 (2014) 4, pp. 537-564

diversification from an American investor's point of view. This paper considers the impact of estimation errors on the optimization … periodical after revision return performance level of the dynamic diversification strategies considering the transaction cost …. Findings – The main finding is that the global portfolio diversification benefits exist for the domestic investors, in both the …

Persistent link: https://www.econbiz.de/10014785585

Portfolio revision and optimal diversification strategy choices

Mroua, Mourad; Abid, Fathi - In: International Journal of Managerial Finance 10 (2014) August, pp. 537-564

diversification from an American investor's point of view. This paper considers the impact of estimation errors on the optimization … periodical after revision return performance level of the dynamic diversification strategies considering the transaction cost …. Findings -The main finding is that the global portfolio diversification benefits exist for the domestic investors, in both the …

Persistent link: https://www.econbiz.de/10010891210

Large scale mean-variance strategies in the U.S. stock market

Pezzo, Luca; Wang, Lei; Zirek, Duygu - In: Research in international business and finance 66 (2023), pp. 1-20

Persistent link: https://www.econbiz.de/10014462513