No-transaction bounds and estimation risk

DOI10.1080/14697680903067104zbMATH Open1195.91180OpenAlexW2065032909MaRDI QIDQ3568906FDOQ3568906

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

Recommendations

• No-arbitrage bounds for financial scenarios
• Narrowing the no-arbitrage bounds
• Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs
• Risk minimization under transaction costs
• Fully-dynamic risk-indifference pricing and no-good-deal bounds
• No-arbitrage criteria for financial markets with transaction costs and incomplete information
• Risk minimization in the model with transaction costs
• Lower bounds of minimax risk in estimation problems without lan condition

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)

Cites Work

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

Cited In (1)

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

This page was built for publication: No-transaction bounds and estimation risk

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3568906)