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Kakushadze, Zura - In: Econometrics : open access journal 3 (2015) 3, pp. 577-589

alphas, turnover reduction is related to the largest eigenvalue and the corresponding eigenvector of the alpha correlation …

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Commodity price correlation and time varying hedge ratios

Lahiani, Amine; Guesmi, Khaled - In: The journal of applied business research 30 (2014) 4, pp. 1053-1061

Persistent link: https://www.econbiz.de/10010400627

Asset allocation with correlation : a composite trade-off

Carroll, Rachael; Conlon, Thomas; Cotter, John; … - In: European journal of operational research : EJOR 262 (2017) 3, pp. 1164-1180

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A comparison of static and dynamic portfolio policies

Wang, Jianshen; Taylor, Nicholas - In: International review of financial analysis 55 (2018), pp. 111-127

Persistent link: https://www.econbiz.de/10012006174

A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs

Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - 2019

dimensions. The new model generates realistic correlation forecasts even for large asset universes and captures rising pairwise …

Persistent link: https://www.econbiz.de/10012134234

A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs

Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - In: Journal of banking & finance 125 (2021), pp. 1-20

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Analyzing commodity futures and stock market indices : hedging strategies using asymmetric dynamic conditional correlation models

Alshammari, Saad; Obeid, Hassan - In: Finance research letters 56 (2023), pp. 1-7

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Asymptotic analysis of long-term investment with two illiquid and correlated assets

Chen, Xinfu; Dai, Min; Jiang, Wei; Qin, Cong - In: Mathematical finance : an international journal of … 32 (2022) 4, pp. 1133-1169

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Markowitz portfolios under transaction costs

Ledoit, Olivier; Wolf, Michael - 2022

Markowitz portfolio selection is a cornerstone in finance, both in academia and in the industry. Most academic studies either ignore transaction costs or account for them in a way that is both unrealistic and suboptimal by (i) assuming transaction costs to be constant across stocks and (ii)...

Persistent link: https://www.econbiz.de/10013440073

Markowitz portfolios under transaction costs

Ledoit, Olivier; Wolf, Michael - 2024 - This version: September 2024

Markowitz portfolio selection is a cornerstone in finance, in academia as well as in the industry. Most academic studies either ignore transaction costs or account for them in a way that is both unrealistic and suboptimal by (i) assuming transaction costs to be constant across stocks and (ii)...

Persistent link: https://www.econbiz.de/10015114775