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Investment opportunities, uncertain implicit transaction costs and maximum downside risk in dynamic stochastic financial optimization

Mushori, Sabastine; Chikobvu, Delson - In: International journal of economics and financial issues … 8 (2018) 4, pp. 256-264

Persistent link: https://www.econbiz.de/10011979576

Cash hoarding : vice or virtue

Kang, Sunmin; Hwang, Intae; Song, Sooyoung - In: Journal of international financial markets, … 53 (2018), pp. 94-116

Persistent link: https://www.econbiz.de/10011983839

Utility maximisation in a factor model with constant and proportional transaction costs

Belak, Christoph; Christensen, Sören - In: Finance and stochastics 23 (2019) 1, pp. 29-96

Persistent link: https://www.econbiz.de/10012023241

A multi-asset investment and consumption problem with transaction costs

Hobson, David G.; Tse, Alex S. L.; Zhu, Yeqi - In: Finance and stochastics 23 (2019) 3, pp. 641-676

Persistent link: https://www.econbiz.de/10012023758

A set optimization approach to utility maximization under transaction costs

Hamel, Andreas; Calder-Wang, Sophie - In: Decisions in economics and finance : DEF ; a journal of … 40 (2017) 1/2, pp. 257-275

Persistent link: https://www.econbiz.de/10011997740

Harmful diversification : evidence from alternative investments

Platanakis, Emmanouil; Sakkas, Athanasios; Sutcliffe, … - In: The British accounting review : the journal of the … 51 (2019) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10011998174

Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs

Buss, Adrian; Uppal, Raman; Vilkov, Grigory - 2015 - This version: February 2015

In this paper, we study the effect of proportional transaction costs on consumption- portfolio decisions and asset prices in a dynamic general equilibrium economy with a financial market that has a single-period bond and two risky stocks, one of which incurs the transaction cost. Our model has...

Persistent link: https://www.econbiz.de/10012061082

The fair return on art as an investment : accounting for transaction costs

Kräussl, Roman; Nasser Eddine, Ali - 2018

Persistent link: https://www.econbiz.de/10012064406

Dynamic portfolio choice with return predictability and transaction costs

Ma, Guiyuan; Siu, Chi Chung; Zhu, Song-Ping - In: European journal of operational research : EJOR 278 (2019) 3, pp. 976-988

Persistent link: https://www.econbiz.de/10012102528

Minimizing the probability of lifetime ruin : two riskless assets with transaction costs

Liang, Xiaoqing; Young, Virginia R. - In: Astin bulletin : the journal of the International … 49 (2019) 3, pp. 847-883

Persistent link: https://www.econbiz.de/10012125302