Dynamic Trading with Predictable Returns and Transaction Costs

Material TypeArticleLanguageEnglish
TitleDynamic Trading with Predictable Returns and Transaction Costs Author(S)NICOLAE GآRLEANU (Author)
Abstract  We derive a closed-form optimal dynamic portfolio policy when trading is costly and security returns are predictable by signals with different mean-reversion speeds ...Paginationp2309-2340
SubjectEconomicsDescriptorsFinance
Journal TitleThe Journal of Finance  
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