The impact of proportional transaction costs on systematically generated portfolios
Portfolio Management
2019-04-22 v1
Abstract
The effect of proportional transaction costs on systematically generated portfolios is studied empirically. The performance of several portfolios (the index tracking portfolio, the equally-weighted portfolio, the entropy-weighted portfolio, and the diversity-weighted portfolio) in the presence of dividends and transaction costs is examined under different configurations involving the trading frequency, constituent list size, and renewing frequency. Moreover, a method to smooth transaction costs is proposed.
Keywords
Cite
@article{arxiv.1904.08925,
title = {The impact of proportional transaction costs on systematically generated portfolios},
author = {Johannes Ruf and Kangjianan Xie},
journal= {arXiv preprint arXiv:1904.08925},
year = {2019}
}
Comments
25 pages, 17 figures