Ledoit, Olivier; Wolf, Michael - 2024 - Revised version, January 2024
studies either ignore transaction costs or account for them in a way that is both unrealistic and suboptimal by (i) assuming … transaction costs to be constant across stocks and (ii) ignoring them at the portfolio-selection state and simply paying them … 'after the fact'. Our paper proposes a method to fix both shortcomings.. As we show, if transaction costs are accounted for …