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"The Impact of Proportional Transaction Costs on Systematically Generated ..."

Johannes Ruf, Kangjianan Xie (2020)

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DOI: 10.1137/19M1282313

access: closed

type: Journal Article

metadata version: 2020-10-23

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Johannes Ruf, Kangjianan Xie:
The Impact of Proportional Transaction Costs on Systematically Generated Portfolios. SIAM J. Financial Math. 11(3): 881-896 (2020)

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