FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2260329907> ?p ?o ?g. }

• W2260329907 endingPage "151" @default.
• W2260329907 startingPage "131" @default.
• W2260329907 abstract "We consider the portfolio selection problem for a multiperiod investor who seeks to maximize her utility of intermediate consumption facing multiple risky-assets and proportional transaction costs in the presence of return predictability. With the presence of transaction costs, this problem is very difficult to solve even numerically due to the curse of dimensionality. In this paper, we propose first several suboptimal rebalancing policies that are based on optimizing simple quadratic programs for a mean-variance investor who faces proportional transaction costs. Then, we propose some feasible rebalancing and consumption policies that can be easily computed even for many risky assets, for an investor with power utility, based on the proposed suboptimal policies. Finally, we show how to compute upper bounds and use them to study how the certainty equivalent losses of consumption, associated when using the approximate policies, depend on different problem parameters." @default.
• W2260329907 created "2016-06-24" @default.
• W2260329907 creator A5062797168 @default.
• W2260329907 creator A5077768951 @default.
• W2260329907 date "2018-09-01" @default.
• W2260329907 modified "2023-10-02" @default.
• W2260329907 title "Portfolio selection with proportional transaction costs and predictability" @default.
• W2260329907 cites W1978083110 @default.
• W2260329907 cites W1994336709 @default.
• W2260329907 cites W1995834279 @default.
• W2260329907 cites W2005158847 @default.
• W2260329907 cites W2025865698 @default.
• W2260329907 cites W2041823389 @default.
• W2260329907 cites W2042506154 @default.
• W2260329907 cites W2074524292 @default.
• W2260329907 cites W2081080078 @default.
• W2260329907 cites W2099438388 @default.
• W2260329907 cites W2115185486 @default.
• W2260329907 cites W2115580984 @default.
• W2260329907 cites W2127951175 @default.
• W2260329907 cites W2129316296 @default.
• W2260329907 cites W2142806639 @default.
• W2260329907 cites W2144787803 @default.
• W2260329907 cites W2148216043 @default.
• W2260329907 cites W2151786492 @default.
• W2260329907 cites W2154463167 @default.
• W2260329907 cites W2163969674 @default.
• W2260329907 cites W2252993048 @default.
• W2260329907 cites W3121251221 @default.
• W2260329907 cites W3121378067 @default.
• W2260329907 cites W3123718809 @default.
• W2260329907 cites W3124130328 @default.
• W2260329907 cites W3124645321 @default.
• W2260329907 cites W3125033228 @default.
• W2260329907 cites W3125513475 @default.
• W2260329907 cites W3125890251 @default.
• W2260329907 doi "https://doi.org/10.1016/j.jbankfin.2018.07.012" @default.
• W2260329907 hasPublicationYear "2018" @default.
• W2260329907 type Work @default.
• W2260329907 sameAs 2260329907 @default.
• W2260329907 citedByCount "17" @default.
• W2260329907 countsByYear W22603299072019 @default.
• W2260329907 countsByYear W22603299072020 @default.
• W2260329907 countsByYear W22603299072021 @default.
• W2260329907 countsByYear W22603299072022 @default.
• W2260329907 countsByYear W22603299072023 @default.
• W2260329907 crossrefType "journal-article" @default.
• W2260329907 hasAuthorship W2260329907A5062797168 @default.
• W2260329907 hasAuthorship W2260329907A5077768951 @default.
• W2260329907 hasBestOaLocation W22603299072 @default.
• W2260329907 hasConcept C10138342 @default.
• W2260329907 hasConcept C105795698 @default.
• W2260329907 hasConcept C111030470 @default.
• W2260329907 hasConcept C119857082 @default.
• W2260329907 hasConcept C121955636 @default.
• W2260329907 hasConcept C126255220 @default.
• W2260329907 hasConcept C144024400 @default.
• W2260329907 hasConcept C149782125 @default.
• W2260329907 hasConcept C154945302 @default.
• W2260329907 hasConcept C162324750 @default.
• W2260329907 hasConcept C175444787 @default.
• W2260329907 hasConcept C196083921 @default.
• W2260329907 hasConcept C197640229 @default.
• W2260329907 hasConcept C202655437 @default.
• W2260329907 hasConcept C2780821815 @default.
• W2260329907 hasConcept C30772137 @default.
• W2260329907 hasConcept C33923547 @default.
• W2260329907 hasConcept C36289849 @default.
• W2260329907 hasConcept C41008148 @default.
• W2260329907 hasConcept C81917197 @default.
• W2260329907 hasConcept C98965940 @default.
• W2260329907 hasConceptScore W2260329907C10138342 @default.
• W2260329907 hasConceptScore W2260329907C105795698 @default.
• W2260329907 hasConceptScore W2260329907C111030470 @default.
• W2260329907 hasConceptScore W2260329907C119857082 @default.
• W2260329907 hasConceptScore W2260329907C121955636 @default.
• W2260329907 hasConceptScore W2260329907C126255220 @default.
• W2260329907 hasConceptScore W2260329907C144024400 @default.
• W2260329907 hasConceptScore W2260329907C149782125 @default.
• W2260329907 hasConceptScore W2260329907C154945302 @default.
• W2260329907 hasConceptScore W2260329907C162324750 @default.
• W2260329907 hasConceptScore W2260329907C175444787 @default.
• W2260329907 hasConceptScore W2260329907C196083921 @default.
• W2260329907 hasConceptScore W2260329907C197640229 @default.
• W2260329907 hasConceptScore W2260329907C202655437 @default.
• W2260329907 hasConceptScore W2260329907C2780821815 @default.
• W2260329907 hasConceptScore W2260329907C30772137 @default.
• W2260329907 hasConceptScore W2260329907C33923547 @default.
• W2260329907 hasConceptScore W2260329907C36289849 @default.
• W2260329907 hasConceptScore W2260329907C41008148 @default.
• W2260329907 hasConceptScore W2260329907C81917197 @default.
• W2260329907 hasConceptScore W2260329907C98965940 @default.
• W2260329907 hasLocation W22603299071 @default.
• W2260329907 hasLocation W22603299072 @default.
• W2260329907 hasLocation W22603299073 @default.
• W2260329907 hasOpenAccess W2260329907 @default.
• W2260329907 hasPrimaryLocation W22603299071 @default.
• W2260329907 hasRelatedWork W1587805312 @default.

• next