Roon, F.A. de

portfolio return model transaction costs asset predictability transaction asset pricing models style analysis investor pricing style analysis table factor stock market value result panel constraint 0.0000 currency regression mean-variance exposure performance position sales constraints level restriction basis utility r 2 values point di ¤erences measure function industry asset pricing model weight difference ¤erence risk aversion period consumption report benchmark momentum index interest rate spread holding management coe ¢ cients sample return predictability contract indices aversion asset pricing restrictions wald test statistics equation positivity constraints power utility function journal portfolio holdings portfolio sorts intercept decile power 35 basis points jensen sample period statistic strategy hypothesis hedge portfolio performance di ¤erence finance