Before revision:  As an empirical framework, we propose a flexible econometric setting for portfolio optimization under transaction costs, which incorporates parameter uncertainty and combines predictive distributions of individual models using optimal prediction pooling. We consider predictive distributions resulting from high-frequency based covariance matrix estimates, daily stochastic volatility factor models and regularized rolling window covariance estimates, among others.
After revision:  As an empirical framework, we propose a flexible econometric setting for portfolio optimization under transaction costs, which incorporates parameter uncertainty and optimally combining predictive distributions resulting from high-frequency based covariance matrix estimates, daily stochastic volatility factor models and regularized rolling window covariance estimates, among others.