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Applied Economics Letters Volume 26, 2019 - Issue 6
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Articles

The role of transaction costs and risk aversion when selecting between one and two regimes for portfolio models

Emmanouil PlatanakisSchool of Management, University of Bath, Bath, UK
,
Athanasios SakkasSouthampton Business School, University of Southampton, S outhampton, UK
&
Charles SutcliffeThe ICMA Centre, Henley Business School, University of Reading, Reading, RG6 6BAUKCorrespondence[email protected]
ORCID Iconhttp://orcid.org/0000-0003-0187-487X
ORCID Icon
Pages 516-521 | Published online: 18 Jun 2018

Citations (7)

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Xinyu Huang, Weihao Han, David Newton, Emmanouil Platanakis, Dimitrios Stafylas & Charles Sutcliffe. (2023) The diversification benefits of cryptocurrency asset categories and estimation risk: pre and post Covid-19. The European Journal of Finance 29:7, pages 800-825.
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Articles from other publishers (6)

Constandina Koki, Stefanos Leonardos & Georgios Piliouras. (2022) Exploring the predictability of cryptocurrencies via Bayesian hidden Markov models. Research in International Business and Finance 59, pages 101554.
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David Newton, Emmanouil Platanakis, Dimitrios Stafylas, Charles Sutcliffe & Xiaoxia Ye. (2021) Hedge fund strategies, performance &diversification: A portfolio theory & stochastic discount factor approach. The British Accounting Review 53:5, pages 101000.
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Yan Song, Xin Yun Li, Yi Li & Xianpei Hong. (2020) Risk investment decisions within the deterministic equivalent income model. Kybernetes 50:2, pages 616-632.
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Xinyu Huang, Weihao Han, David Newton, Emmanouil Platanakis, Dimitrios Stafylas & Charles M. Sutcliffe. (2021) The Diversification Benefits of Cryptocurrency Asset Categories and Estimation Risk: Pre and Post COVID-19. SSRN Electronic Journal.
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Trevor Mooney, Ravindra Rapaka & Tawanda Vera. (2019) Dynamic Regime Strategy for Stress Testing and Optimizing Institutional Investor Portfolios. SSRN Electronic Journal.
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David Newton, Emmanouil Platanakis, Dimitrios Stafylas, Charles M. Sutcliffe & Xiaoxia Ye. (2019) Hedge Fund Strategies, Performance & Diversification: A Portfolio Theory & Stochastic Discount Factor Approach. SSRN Electronic Journal.
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