Optimal Investment Under Transaction Costs: A Threshold Rebalanced Portfolio Approach
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Cited by:
- Fotis Papailias & Dimitrios Thomakos, 2015.
"Covariance averaging for improved estimation and portfolio allocation,"
Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(1), pages 31-59, February.
- Dimitrios D. Thomakos & Fotis Papailias, 2013. "Covariance Averaging for Improved Estimation and Portfolio Allocation," Working Paper series 66_13, Rimini Centre for Economic Analysis.
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This paper has been announced in the following NEP Reports:- NEP-MST-2012-03-28 (Market Microstructure)
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