Title: Portfolio Adjustment with Fixed Transaction Costs: A Simplified Approach
Abstract: This paper presents a closed form solution to the portfolio adjustment problem in discrete time when the investor faces fixed transaction costs. This transaction cost model assumes a mean-variance investor who wants to adjust her holdings of a risky and risk-free asset. It is shown how this model can be calibrated to be used with a variety of risk models such as life cycle portfolio weights and value at risk (VaR) models. The decision problem can easily be inputted into and calculated in Excel.
Publication Year: 2014
Publication Date: 2014-01-01
Language: en
Type: article
Indexed In: ['crossref']
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