SSRNTrading, Microstructure & Execution
Smoothing Strategies
A new method in a sequential portfolio optimization framework can lower turnover in frequently rebalanced investment strategies by categorizing assets based on their attractiveness and trading volume.
Featured in No. 66 on 18 Sep 2024 · 19 days after release
- Released
- 30 Aug 2024
- First featured
- No. 66 · 18 Sep 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4955388
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).