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Dynamic portfolio optimization with transaction costs and state-dependent drift
(Working paper;2014:1, Working paper, 2014)
We present an efficient numerical method to determine optimal portfolio strategies under time- and state-dependent drift and proportional transaction costs. This scenario arises when investors have behavioral biases or ...
Fragmentation and stability of markets
(Working paper;2013:7, Working paper, 2013-07)
Trading skills are highly rewarded in practice but largely ignored in theoretical models of financial markets. This paper demonstrates the importance of skills by exploring their interaction with market fragmentation and ...