SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Multiperiod portfolio optimization with multiple risky assets and general transaction costs
16 references·0 citing·33 second hop
Multiperiod portfolio optimization with multiple risky assets and general transaction costs (2016)Multiperiod portfolio optimization with m…Active Portfolio Management (2017)Active Portfolio ManagementDynamic Trading with Predictable Returns and Transaction Costs (2013)Dynamic Trading with Predicta…Dynamic Mean-Variance Asset Allocation (2010)Dynamic Mean-Variance Asset A…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…Direct Estimation of Equity Market Impact (2005)Direct Estimation of Equity M…Optimal control of execution costs (1998)Optimal control of execution …An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs (1991)An Exact Solution to a Dynami…Portfolio Selection with Transaction Costs (1990)Portfolio Selection with Tran…Capital Market Equilibrium with Transaction Costs (1986)Capital Market Equilibrium wi…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Portfolio selection with transactions costs (1976)Portfolio selection with tran…LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Optimal Multiperiod Portfolio Policies (1968)Optimal Multiperiod Portfolio…Aspects of the Theory of Risk-Bearing. (1966)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Common factors in prices, order flows, and liquidity (2001)Stealth-trading: Which traders' trades move stock prices? (2001)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Portfolio Selection: Efficient Diversification of Investments (1959)Risk Aversion in the Small and in the Large (1964)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross-Section of Expected Stock Returns (1992)PORTFOLIO SELECTION* (1952)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Robust performance hypothesis testing with the Sharpe ratio (2008)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Multiperiod Consumption-Investment Decisions (1975)Universal Portfolios (1991)Aspects of Rational Insurance Purchasing (1992)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Corporate Yield Spreads and Bond Liquidity (2007)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuous Time (2004)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1990Portfolio Selection with Transaction Costs1,318 cited
  • 1986Capital Market Equilibrium with Transaction Costs1,096 cited
  • 1998Optimal control of execution costs1,056 cited
  • 1968Optimal Multiperiod Portfolio Policies779 cited
  • 2010Dynamic Mean-Variance Asset Allocation593 cited
  • 2013Dynamic Trading with Predictable Returns and Transaction Costs563 cited
  • 2017Active Portfolio Management463 cited
  • 1976Portfolio selection with transactions costs431 cited
  • 1991An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs401 cited
  • 2005Direct Estimation of Equity Market Impact

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

363 cited

Cited by

No citing works inside the corpus for this window.