Now showing items 1-4 of 4

    • Commonality in FX liquidity: High-frequency evidence 

      Şensoy, Ahmet; Uzun, Sevcan; Lucey, B. M. (Elsevier, 2020-06)
      We test the existence and reveal the main properties of commonality in liquidity for the foreign exchange (FX) markets at the high-frequency level. Accordingly, commonality in FX liquidity exists even at the high-frequency ...
    • Growth optimal investment with threshold rebalancing portfolios under transaction costs 

      Tunc, S.; Donmez, M.A.; Kozat, Süleyman S. (IEEE, 2013)
      We study how to invest optimally in a stock market having a finite number of assets from a signal processing perspective. In particular, we introduce a portfolio selection algorithm that maximizes the expected cumulative ...
    • Optimal investment under transaction costs: A threshold rebalanced portfolio approach 

      Tunc, S.; Donmez, M. A.; Kozat, S. S. (IEEE, 2013)
      We study how to invest optimally in a financial market having a finite number of assets from a signal processing perspective. Specifically, we investigate how an investor should distribute capital over these assets and ...
    • Set-valued shortfall and divergence risk measures 

      Ararat, C.; Hamel, A. H.; Rudloff, B. (World Scientific Publishing, 2017)
      Risk measures for multivariate financial positions are studied in a utility-based framework. Under a certain incomplete preference relation, shortfall and divergence risk measures are defined as the optimal values of ...