Portfolio Selection with Transaction Costs¶
Davis, M. H. A., & Norman, A. R. (1990). Portfolio Selection with Transaction Costs. Mathematics of Operations Research, 15(4), 676-713.
Cited by¶
1 citation across 1 artifact.
Each citation links to the sentence it supports in the citing article.
Mechanisms¶
- Bounded Rebalancing Trade
- The guarding discipline is tolerance-band sizing: set the band from the cost of correcting, so a trade only fires when the drift is large enough that fixing it is worth the spend.
This sourceDerives optimal buying and selling at the boundaries of a no-transaction region created by proportional transaction costs.
- The guarding discipline is tolerance-band sizing: set the band from the cost of correcting, so a trade only fires when the drift is large enough that fixing it is worth the spend.
Verification¶
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