Markowitz portfolios under transaction costs
Year of publication: |
2024
|
---|---|
Authors: | Ledoit, Olivier ; Wolf, Michael |
Publisher: |
Zurich : University of Zurich, Department of Economics |
Subject: | Covariance matrix estimation | mean-variance efficiency | multivariate GARCH | portfolio selection | transaction costs |
Series: | Working Paper ; 420 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 10.5167/uzh-221804 [DOI] 1879844184 [GVK] hdl:10419/282184 [Handle] |
Classification: | C13 - Estimation ; G11 - Portfolio Choice |
Source: |
-
Markowitz portfolios under transaction costs
Ledoit, Olivier, (2022)
-
Markowitz portfolios under transaction costs
Ledoit, Olivier, (2022)
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Risk reduction and efficiency increase in large portfolios : leverage and shrinkage
Zhao, Zhao, (2019)
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Ledoit, Olivier, (2001)
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Robust performance hypothesis testing with the variance
Ledoit, Olivier, (2010)
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Nonlinear shrinkage estimation of large-dimensional covariance matrices
Ledoit, Olivier, (2010)
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