most citedLarge-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty

48 citations · 48 across the 1 of their papers we have counts for

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1 paper

q-fin.PM2017★ 48 cited

Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty

Nikolaus Hautsch, Stefan Voigt

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