Asset Allocation in a High-Dimensional Environment: a Trading Cost Perspective

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Keywords	Mean-variance efficiency; covariance matrix; large-asset environment; parametric portfolio policy; volatility timing portfolio; equal-weighted portfolio; value-weighted portfolio; Sharpe Ratio; Certainty Equivalent
Thesis Advisor	Lonn, SOR
Persistent URL	hdl.handle.net/2105/71209
Series	Econometrie
Organisation	Erasmus School of Economics
Citation APA Style AAA Style APA Style Cell Style Chicago Style Harvard Style IEEE Style MLA Style Nature Style Vancouver Style American-Institute-of-Physics Style Council-of-Science-Editors Style BibTex Format Endnote Format RIS Format CSL Format DOIs only Format	Coer, J.M. van der. (2024, March 12). Asset Allocation in a High-Dimensional Environment: a Trading Cost Perspective. Econometrie. Retrieved from http://hdl.handle.net/2105/71209

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