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
Journal
Journal of Econometrics
ISSN
0304-4076
Publication date
2018
Publication status
Accepted/In press
Peer reviewed
Yes
Austrian Fields of Science 2012
502025 Econometrics, 502009 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