No-transaction bounds and estimation risk

DOI10.1080/14697680903067104MaRDI QIDQ3568906zbMATH OpenOpenAlexFDO

Authors Vasyl Golosnoy

Publication date 16 June 2010

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680903067104

zbMATH Keywords

portfolio theorystatistical methodsfinancial marketseconometric of financial markets

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Recommendations

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Cites work

• An algorithm for portfolio optimization with transaction costs
• Comparison of different estimation techniques for portfolio selection
• Distributional properties of portfolio weights
• Estimation for Markowitz Efficient Portfolios
• Estimation with quadratic loss.
• Hierarchical Bayes methods for multifactor model estimation and portfolio selection
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Portfolio Selection with Transaction Costs
• Portfolio selection and transactions costs

Cited in

(1)

• Large-scale portfolio allocation under transaction costs and model uncertainty

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