Portfolio selection with proportional transaction costs and predictability
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DOI: 10.1016/j.jbankfin.2018.07.012
Abstract: We consider the portfolio optimization problem for a multiperiod investor who seeks to maximize her utility of consumption facing multiple risky assets and proportional transaction costs in the presence of return predictability. Due to the… read more here.
Keywords: transaction costs; predictability; portfolio selection; proportional transaction ... See more keywords