Sicong (Allen) Li

London Business School

Sussex Place

Regent's Park

London, London NW1 4SA

United Kingdom

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Scholarly Papers (1)

1.

Comparing Factor Models with Price-Impact Costs

Number of pages: 66 Posted: 30 Oct 2020 Last Revised: 16 May 2022
Sicong (Allen) Li, Victor DeMiguel and Alberto Martin-Utrera
London Business School, London Business School and Iowa State University
Downloads 243 (174,458)

Abstract:

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trading costs, mean-variance utility, statistical test.