Dynamic Portfolio Choice

In course

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Description

This lecture covers dynamic portfolio choice in the presence of time-varying opportunity sets and realistic transaction costs. It discusses the challenges faced by practitioners in implementing dynamic strategies and provides analytic results on optimal portfolio choice. The lecture also includes empirical analysis of market returns with transaction costs estimated from institutional investors' trade executions.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_d06ofav7

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Ontological neighbourhood

Economics

Microeconomics: Financial economics

Statistics

Statistical inference: Mathematical statistics

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