77 Massachusetts Ave.
Cambridge, MA 02142
Massachusetts Institute of Technology (MIT) - Sloan School of Management
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Mean-Variance Analysis, Full-Scale Optimization, Portfolio Formation
finance, portfolio: optimal rebalancing with transaction costs
Asset allocation, Asset classes, Auto-correlation, Dimensionality, Diversification, Estimation error, Estimation sample, Factor, Factor allocation, Fundamental factor, GICS classification, High-frequency return, Independent-sample error, Interval error, Lagged cross-correlation, Low-frequency return
Basket option, Continuous value at risk, Cross hedging, First passage probability, Full-scale optimization, Kinked utility function, Linear hedging strategy, Mahalanobis distance, Non-linear hedging strategy, Turbulence, Within-horizon risk
Auto-correlation, Cross-correlation, Excess dispersion, High-frequency estimation, Information ratio, Low-frequency estimation, Risk parity, Security market line, Sharpe ratio, Square root of time, Tracking error
Bayesian shrinkage, Elliptical distribution, Factor-replicating portfolio Full-scale optimization, Independent-sample error, Interval error, Kinked utility function, Non-parametric, Power utility function, Resampling, Small-sample error, Stability-adjusted return sample, Symmetrical distribution
Auto-correlation, Comparative statics, Cross-correlation, Excess dispersion, High-frequency estimation, Independent and identically distributed, Iso-expected return curve, Low-frequency estimation, Tracking error, Triannualized, Variance ratio
Absorption ratio, Cross-sectional parity, Extrinsic fragility, First passage probability, Inter-temporal parity, Intrinsic fragility, Investment policy, Macro-efficient, Micro-inefficiency, Policy portfolio, Risk disparity, Risk parity, Samuelson dictum, Standardized shift, Within-horizon loss
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