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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
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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
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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
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Homogenization and asymptotics for small transaction costs
Soner, Halil Mete; Touzi, Nizar - 2012
theory and use the convergence tools from the theory of viscosity solutions. The multidimensional case is studied in our …
Persistent link: https://www.econbiz.de/10009558392
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The general structure of optimal investment and consumption with small transaction costs
Kallsen, Jan; Muhle-Karbe, Johannes - 2013
We investigate the general structure of optimal investment and consumption with small proportional transaction costs. For a safe asset and a risky asset with general continuous dynamics, traded with random and time-varying but small transaction costs, we derive simple formal asymptotics for the...
Persistent link: https://www.econbiz.de/10009750631
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Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs
Buss, Adrian; Uppal, Raman; Vilkov, Grigory - 2014 - This version: February 15, 2014
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/10010250161
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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
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Liquidity as an Investment Style
Chen, Zhiwu - 2010
We first show that liquidity, as measured by stock turnover or trading volume, is an economically significant investment style that is distinct from traditional investment styles such as size, value/growth, and momentum. We then introduce and examine the performance of several portfolio...
Persistent link: https://www.econbiz.de/10013138291
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Are Pairs Trading Profits Robust to Trading Costs?
Do, Binh Huu - 2012
We examine the impact of trading costs on pairs trading profitability in the US equity market over the period 1963-2009. After controlling for commissions, market impact and short selling fees; we find that pairs trading remains profitable, albeit at much more modest levels. Specifically, we...
Persistent link: https://www.econbiz.de/10013115517
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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