Stefan Voigt

WU Wien

Welthandelsplatz 1

Building D4.4.171

Vienna, 1020

Austria

http://www.vgsf.ac.at/voigt

Vienna Graduate School of Finance (VGSF)

Welthandelsplatz 1

Vienna, 1020

Austria

SCHOLARLY PAPERS

2

DOWNLOADS

151

CITATIONS

4

Scholarly Papers (2)

1.

Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty

CFS Working Paper, No. 582
Number of pages: 62 Posted: 28 Sep 2017 Last Revised: 23 Aug 2019
Nikolaus Hautsch and Stefan Voigt
University of Vienna - Department of Statistics and Operations Research and WU Wien
Downloads 127 (222,075)
Citation 2

Abstract:

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portfolio choice, transaction costs, model uncertainty, regularization, high frequency data

2.

Limits to Arbitrage in Markets With Stochastic Settlement Latency

CFS Working Paper, No. 616, 2018
Number of pages: 74 Posted: 02 Jan 2019
University of Vienna - Department of Statistics and Operations Research, Vienna Graduate School of Finance (VGSF) and WU Wien
Downloads 24 (496,266)
Citation 3

Abstract:

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Arbitrage, Settlement Latency, Distributed Ledger, Blockchain