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The Impact of Proportional Transaction Costs on Systematica..:
Ruf, Johannes
;
Xie, Kangjianan
SIAM Journal on Financial Mathematics. 11 (2020) 3 - p. 881-896 , 2020
Link:
https://doi.org/10.1137/19m1282313
RT Journal T1 <Title>The Impact of Proportional Transaction Costs on Systematically Generated Portfolios</Title> UL https://suche.suub.uni-bremen.de/peid=cr-10.1137_19m1282313&Exemplar=1&LAN=DE A1 Ruf, Johannes A1 Xie, Kangjianan PB Society for Industrial & Applied Mathematics (SIAM) YR 2020 SN 1945-497X JF SIAM Journal on Financial Mathematics VO 11 IS 3 SP 881 OP 896 LK http://dx.doi.org/https://doi.org/10.1137/19m1282313 DO https://doi.org/10.1137/19m1282313 SF ELIB - SuUB Bremen
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