We theoretically and empirically study portfolio optimization under transaction costs and
establish a link between turnover penalization and covariance shrinkage with the …

The mean-variance model formulated by Markowitz for a single period serves as a
fundamental method of modern portfolio selection. In this study, we consider a multi-period …

This paper extends the study of the cardinality impact on portfolio performance, from the
traditional mean‐variance framework to more general frameworks that include higher …

Generally, financial investments are necessary for portfolio management. However, the
prediction of a portfolio becomes complicated in several processing techniques which may …

The asset-pricing literature has proposed several return forecasting methods ranging from
conventional Fama-MacBeth regressions to advanced methods based on machine learning …

Most cross-sections of asset returns based on Bryzgalova, Pelger and Zhu (2020) Asset-
Pricing Trees do not span the Stochastic Discount Factor (SDF) when transaction costs are …

We propose a new volatility timing strategy that are particularly favourable in the presence of
both structural changes in covariance matrix and transaction costs. The approach relies on …

Motivated by the limitations of the mean-variance optimization model, in this thesis we
propose to approach the portfolio selection problem with different frameworks. Looking …

Motivated by the limitations of the mean-variance optimization model, in this thesis we
propose to approach the portfolio selection problem with different frameworks. Looking …