A Combination Rule for Portfolio Selection with Transaction Costs*. (9th June 2016)
- Record Type:
- Journal Article
- Title:
- A Combination Rule for Portfolio Selection with Transaction Costs*. (9th June 2016)
- Main Title:
- A Combination Rule for Portfolio Selection with Transaction Costs*
- Authors:
- Suh, Sangwon
- Abstract:
- Abstract: We propose a new portfolio rule for portfolio selection problems in the presence of transaction costs. The new portfolio rule is formed by combining an extant portfolio rule with the no‐rebalancing portfolio rule, which specifies the current portfolio weights before rebalancing as the desired portfolio weights. The new portfolio rule can be applied into most extant portfolio rules. Simulation and out‐of‐sample evidence show that the new portfolio rule can greatly improve portfolio performance, in comparison with the extant portfolio rules to be combined.
- Is Part Of:
- International review of finance. Volume 16:Number 3(2016:Sep.)
- Journal:
- International review of finance
- Issue:
- Volume 16:Number 3(2016:Sep.)
- Issue Display:
- Volume 16, Issue 3 (2016)
- Year:
- 2016
- Volume:
- 16
- Issue:
- 3
- Issue Sort Value:
- 2016-0016-0003-0000
- Page Start:
- 393
- Page End:
- 420
- Publication Date:
- 2016-06-09
- Subjects:
- Finance -- Periodicals
Financial institutions -- Periodicals
332.673 - Journal URLs:
- http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1468-2443 ↗
http://onlinelibrary.wiley.com/ ↗
http://www.blackwell-synergy.com/servlet/useragent?func=showIssues&code=irfi ↗ - DOI:
- 10.1111/irfi.12087 ↗
- Languages:
- English
- ISSNs:
- 1369-412X
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 4547.155000
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 2718.xml