Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty

Author(s)
Nikolaus Hautsch, Stefan Voigt
Organisation(s)
Department of Statistics and Operations Research, Research Platform Data Science @ Uni Vienna
External organisation(s)
Wirtschaftsuniversität Wien (WU)
Journal
Journal of Econometrics
Pages
221-240
ISSN
0304-4076
Publication date
2019
Peer reviewed
Yes
Austrian Fields of Science 2012
Econometrics, Corporate finance
Portal url
https://ucris.univie.ac.at/portal/en/publications/largescale-portfolio-allocation-under-transaction-costs-and-model-uncertainty(d13795ec-1062-40f9-8944-6fcec5928f65).html