Switching cost models as hypothesis tests

DOI10.1016/j.econlet.2018.11.014zbMath1406.91082arXiv1808.09686OpenAlexW2889500605WikidataQ128887332 ScholiaQ128887332MaRDI QIDQ1714074

Samuel N. Cohen, Timo Henckel, Daniel John Zizzo, Johannes Muhle-Karbe, Gordon Douglas Menzies

Publication date: 31 January 2019

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.09686

zbMATH Keywords

hypothesis testinferenceswitching costinferential expectations

Mathematics Subject Classification ID

Decision theory (91B06)

Cites Work

• Fundamentals of stochastic filtering
• Portfolio optimisation with strictly positive transaction costs and impulse control
• Asymptotics for fixed transaction costs
• Optimal Inattention to the Stock Market With Information Costs and Transactions Costs
• PORTFOLIO MANAGEMENT WITH TRANSACTION COSTS: AN ASYMPTOTIC ANALYSIS OF THE MORTON AND PLISKA MODEL
• Macroeconomic Expectations of Households and Professional Forecasters

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