Ambiguity premium and transaction costs
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DOI: 10.1016/j.econlet.2021.110007
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References listed on IDEAS
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More about this item
Keywords
Optimal investment; Ambiguity aversion; Transaction costs; Ambiguity premium;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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