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Large-scale portfolio allocation under transaction costs and model uncertainty

Hautsch, Nikolaus; Voigt, Stefan - 2017

We theoretically and empirically study large-scale portfolio allocation problems when transaction costs are taken into account in the optimization problem. We show that transaction costs act on the one hand as a turnover penalization and on the other hand as a regularization, which shrinks the...

Persistent link: https://www.econbiz.de/10011755791

Large-scale portfolio allocation under transaction costs and model uncertainty

Hautsch, Nikolaus; Voigt, Stefan - In: Journal of econometrics 212 (2019) 1, pp. 221-240

Persistent link: https://www.econbiz.de/10012303923

On the quasi-sure superhedging duality with frictions

Bayraktar, Erhan; Burzoni, Matteo - In: Finance and stochastics 24 (2020) 1, pp. 249-275

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How might model uncertainty and transaction costs impact retained earning & dividend strategies? : an examination through a classical insurance risk model

Feng, Yang; Siu, Tak Kuen; Zhu, Jinxia - In: Insurance : mathematics and economics 120 (2025), pp. 131-158

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Binary markets under transaction costs

Cordero, Fernando; Klein, Irene; Perez-Ostafe, Lavinia - In: International journal of theoretical and applied finance 17 (2014) 5, pp. 1-27

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Asymptotic arbitrage with small transaction costs

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Arbitrage in markets with bid-ask spreads : the fundamental theorem of asset pricing in finite discrete time markets with bid-ask spreads and a money account

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Utility maximization with proportional transaction costs under model uncertainty

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Mean-variance portfolio selection with estimation risk and transaction costs

Mei, Xiaoling; Zhu, Huanjun; Chen, Chongzhu - In: Applied economics 55 (2023) 13, pp. 1436-1453

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Discrete-time risk sensitive portfolio optimization with proportional transaction costs

Pitera, Marcin; Stettner, Łukasz - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1287-1313

Persistent link: https://www.econbiz.de/10014370659