Optimal trading with transaction costs and short-term predictability
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Publication:6053124
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Cites work
Cited in
(11)- Predictable forward performance processes: Infrequent evaluation and applications to human‐machine interactions
- OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT
- Dynamic portfolio choice with return predictability and transaction costs
- Admissible Trading Strategies Under Transaction Costs
- Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
- Profitable informed trading in a simple general equilibrium model of asset pricing
- Improved approximation to first-best gains-from-trade
- Optimal multi-asset trading with linear costs: a mean-field approach
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