Filled and Killed: Forecast and Realized Trading Costs Across Horizons from Global Equity and Fixed Income Portfolio Trades
A Ang, A Madhavan - Available at SSRN, 2024 - papers.ssrn.com
We analyze trading costs across regions and asset classes using unique data on 2,022
portfolio transitions from February 2016 to December 2023 comprising over USD 3.1 trillion …
portfolio transitions from February 2016 to December 2023 comprising over USD 3.1 trillion …
Multi-period portfolio optimisation with alpha decay
K Sivaramakrishnan, V Jeet… - … Journal of Financial …, 2018 - inderscienceonline.com
The traditional Markowitz MVO approach is based on a single-period model. Single period
models do not utilise any data or decisions beyond the rebalancing time horizon with the …
models do not utilise any data or decisions beyond the rebalancing time horizon with the …