The role of transaction costs and risk aversion when selecting between one and two regimes for portfolio models
Author:
Affiliation:
1. School of Management, University of Bath, Bath, UK
2. Southampton Business School, University of Southampton, S outhampton, UK
3. The ICMA Centre, Henley Business School, University of Reading, Reading, RG6 6BA UK
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/13504851.2018.1486984
Reference16 articles.
1. Regime Switches in Interest Rates
2. Dynamic asset allocation for varied financial markets under regime switching framework
3. Strategic Asset Allocation and the Role of Alternative Investments
4. Optimal Versus Naive Diversification: How Inefficient is the 1/NPortfolio Strategy?
5. Long-Term Strategic Asset Allocation: An Out-of-Sample Evaluation
Cited by 5 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. The diversification benefits of cryptocurrency asset categories and estimation risk: pre and post Covid-19;The European Journal of Finance;2022-03-05
2. Exploring the predictability of cryptocurrencies via Bayesian hidden Markov models;Research in International Business and Finance;2022-01
3. Hedge fund strategies, performance &diversification: A portfolio theory & stochastic discount factor approach;The British Accounting Review;2021-09
4. Risk investment decisions within the deterministic equivalent income model;Kybernetes;2020-03-02
5. Hedge Fund Strategies, Performance & Diversification: A Portfolio Theory & Stochastic Discount Factor Approach;SSRN Electronic Journal;2019
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3