Dynamic Trading Strategies and Portfolio Choice
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- Ravi Bansal & Magnus Dahlquist & Campbell R. Harvey, 2004. "Dynamic Trading Strategies and Portfolio Choice," NBER Working Papers 10820, National Bureau of Economic Research, Inc.
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- Axelson, Ulf & Strömberg, Per & Weisbach, Michael S., 2007. "Why are Buyouts Levered? The Financial Structure of Private Equity Funds," SIFR Research Report Series 49, Institute for Financial Research.
- Axelson, Ulf & Stromberg, Per & Weisbach, Michael S., 2008. "Why Are Buyouts Levered? The Financial Structure of Private Equity Funds," Working Paper Series 2008-15, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
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- Makarov, Dmitry & Schornick, Astrid V., 2010. "A note on wealth effect under CARA utility," Finance Research Letters, Elsevier, vol. 7(3), pages 170-177, September.
- Chiang, I-Hsuan Ethan, 2015. "Modern portfolio management with conditioning information," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 114-134.
- Peñaranda, Francisco & Sentana, Enrique, 2016.
"Duality in mean-variance frontiers with conditioning information,"
Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 762-785.
- Francisco Peñaranda & Enrique Sentana, 2007. "Duality in Mean-Variance Frontiers with Conditioning Information," Working Papers wp2007_0715, CEMFI.
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- Francisco Peñaranda & Enrique Sentana, 2007. "Duality in mean-variance frontiers with conditioning information," Economics Working Papers 1058, Department of Economics and Business, Universitat Pompeu Fabra.
- Ulf Axelson & Sandeep Baliga, 2009.
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The Review of Financial Studies, Society for Financial Studies, vol. 22(10), pages 3907-3939, October.
- Axelson, Ulf & Baliga, Sandeep, 2007. "Liquidity and Manipulation of Executive Compensation Schemes," SIFR Research Report Series 54, Institute for Financial Research.
- Qi Liu & Ka Po Kung, 2023. "Optimality of Buy-and-Hold Strategies," Eurasian Journal of Business and Management, Eurasian Publications, vol. 11(1), pages 32-45.
- Suleyman Basak & Georgy Chabakauri, 2010.
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The Review of Financial Studies, Society for Financial Studies, vol. 23(8), pages 2970-3016, August.
- Basak, Suleyman & Chabakauri, Georgy, 2009. "Dynamic Mean-Variance Asset Allocation," CEPR Discussion Papers 7256, C.E.P.R. Discussion Papers.
- Fedyk, Yuriy & Walden, Johan, 2007. "High-Speed Natural Selection in Financial Markets with Large State Spaces," SIFR Research Report Series 52, Institute for Financial Research.
- Fletcher, Jonathan & Basu, Devraj, 2016. "An examination of the benefits of dynamic trading strategies in U.K. closed-end funds," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 109-118.
- van Hemert, Otto, 2006. "Life-Cycle Housing and Portfolio Choice with Bond Markets," SIFR Research Report Series 44, Institute for Financial Research.
- Peñaranda, Francisco, 2009. "Understanding portfolio efficiency with conditioning information," LSE Research Online Documents on Economics 24415, London School of Economics and Political Science, LSE Library.
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More about this item
Keywords
Dynamic strategies; mean-variance optimization; multiperiod choice; efficient frontier; buy-and-hold investment;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FIN-2004-10-21 (Finance)
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