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Dynamic Asset Allocation with Predictable Returns and Transaction Costs · Study

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PreprintDynamic Asset Allocation with Predictable Returns and Transaction Costs

Pierre Collin‐Dufresne2015

OA

Preprintgreen2015

Dynamic Asset Allocation with Predictable Returns and Transaction Costs

Pierre Collin‐Dufresne · Kent Daniel · Ciamac C. Moallemi · Mehmet Sağlam

29 citations·0/0 files stored·SSRN Electronic Journal

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1993Common risk factors in the returns on stocks and bonds 1986Generalized autoregressive conditional heteroskedasticity 1973Risk, Return, and Equilibrium: Empirical Tests 1952PORTFOLIO SELECTION*1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1965The Behavior of Stock-Market Prices 1985Does the Stock Market Overreact?

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Details

Year2015

Typepreprint

Published2015-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations29

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.2139/ssrn.2618910

openalex_workW2109011683

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