Similar Search Results

The Impact of Transaction Costs in Portfolio Optimization : A Comparative Analysis Between the Cost of Trading in Peru and the United States

Chavalle, Luc - 2019

to compare the transaction costs structure applied in Peru with respect to the ones applied in the USA, and over a few …Purpose – This paper aims to analyze the impact of transaction costs in portfolio optimization in Peru. The study aims ….Findings – The paper provides empirical insights about how a retail investor actively trading in Peru can pay up to 14 times more in …

Persistent link: https://www.econbiz.de/10012858104

Machine Learning and the Implementable Efficient Frontier

Jensen, Theis Ingerslev; Kelly, Bryan T.; Malamud, Semyon; … - 2022

We propose that investment strategies should be evaluated based on their net-of-trading-cost return for each level of risk, which we term the "implementable efficient frontier." While numerous studies use machine learning return forecasts to generate portfolios, their agnosticism toward trading...

Persistent link: https://www.econbiz.de/10013492674

Rebalancing with linear and quadratic costs

Liu, Ren; Muhle-Karbe, Johannes; Weber, Marko - 2014

We consider a market consisting of one safe and one risky asset, which offer constant investment opportunities. Taking into account both proportional transaction costs and linear price impact, we derive optimal rebalancing policies for representative investors with constant relative risk...

Persistent link: https://www.econbiz.de/10010338752

Managing Transaction Costs in a Dynamic Trading Strategy

Sefton, James A. - 2015

generalise some of the results of the martingale approach to dynamic portfolio theory to market with frictions …

Persistent link: https://www.econbiz.de/10013032928

Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs

Buss, Adrian - 2019

In this paper, we study the effect of proportional transaction costs on consumption-portfolio decisions and asset prices in a dynamic general equilibrium economy with a financial market that has a single-period bond and two risky stocks, one of which incurs the transaction cost. Our model has...

Persistent link: https://www.econbiz.de/10012905099

Performance Analysis of Log-Optimal Portfolio Strategies with Transaction Costs

Ormos, Mihály - 2011

In the paper we introduce an empirical approximation of the log-optimal investment strategy that guarantees an almost optimal growth rate of investments. The proposed strategy also considers the effects of portfolio rearrangement costs on growth optimality and advises a suboptimal portfolio for...

Persistent link: https://www.econbiz.de/10013121522

Characterization of Optimal Strategy for Multi-Asset Investment and Consumption with Transaction Costs

Chen, Xinfu - 2012

We consider the optimal consumption and investment with transaction costs on multiple assets, where the prices of risky assets jointly follow a multi-dimensional geometric Brownian motion. We characterize the optimal investment strategy and in particular prove by rigorous mathematical analysis...

Persistent link: https://www.econbiz.de/10013098012

Portfolio Choice with Transaction Costs : A User's Guide

Guasoni, Paolo - 2012

Recent progress in portfolio choice has made a wide class of problems involving transaction costs tractable. We review the basic approach to these problems, and outline some directions for future research

Persistent link: https://www.econbiz.de/10013102908

Dynamic Portfolio Selection under Transaction Costs and Signal Decay

Firoozye, Nick; Tan, Vincent; Zohren, Stefan - 2023

This paper presents an analytical solution to the dynamic portfolio selection problem, considering transaction costs and signals with different persistence properties. Our proposed optimal portfolio policy involves a smooth adjustment towards a forward-looking portfolio that is composed of a...

Persistent link: https://www.econbiz.de/10014354823

Dynamic Asset Allocation with Stochastic Interest Rates and Transaction Costs

Leirvik, Thomas - 2011

We investigate the optimal investment problem when the interest rate is stochastic and the investor must pay proportional transaction costs when buying and selling the risky assets. We first consider a portfolio of bonds and transaction costs.We then add a stock to the portfolio, and analyze the...

Persistent link: https://www.econbiz.de/10013128446