The Impact of Proportional Transaction Costs on Systematically Generated Portfolios

DOI10.1137/19M1282313zbMath1452.91291arXiv1904.08925MaRDI QIDQ5131412

Johannes Ruf, Kangjianan Xie

Publication date: 7 November 2020

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1904.08925

zbMATH Keywords

transaction coststochastic portfolio theoryportfolio analysisfunctionally generated portfoliodiversity-weighted portfolioequally-weighted portfolio

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (2)

Functional Portfolio Optimization in Stochastic Portfolio Theory ⋮ Leakage of rank-dependent functionally generated trading strategies

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