Luca Pezzo

University of New Orleans

2000 Lakeshore Drive

New Orleans, LA 70148

United States

SCHOLARLY PAPERS

3

DOWNLOADS

373

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Mean-Variance Portfolio Rebalancing with Transaction Costs

Number of pages: 29 Posted: 16 May 2019
Philip H. Dybvig and Luca Pezzo
Washington University in St. Louis - John M. Olin Business School and University of New Orleans
Downloads 159 (195,513)
Citation 1

Abstract:

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Transaction Costs, Mean-Variance, Optimization, Asset Allocation

2.

Importance of Transaction Costs for Asset Allocations in FX Markets

Number of pages: 109 Posted: 24 Mar 2018 Last Revised: 24 Mar 2020
The University of Hong Kong, University of New Orleans and Washington University in St. Louis - John M. Olin Business School
Downloads 147 (208,733)
Citation 1

Abstract:

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Transaction Costs, Mean-Variance, Optimization, Asset Allocation, Foreign Exchange, Carry Trade

3.

When the Risk Premium Is Negative

Number of pages: 54 Posted: 10 Jan 2020
Luca Pezzo and Yinchu Zhu
University of New Orleans and University of Oregon
Downloads 67 (353,426)

Abstract:

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Negative Risk Premium, Stochastic Discount Factor, Arbitrage, Non-parametric test, Bad Times, Market-timing