Transaction costs: a new point of view
Disordered Systems and Neural Networks
2008-12-10 v1 Trading and Market Microstructure
Abstract
We consider a new approach to portfolio selection in presence of transaction costs which allows to map the problem into one without costs. The proposed approach connects all the quantities of interest to exit times and probabilities to reach barriers. This leads to analytic results in the Wiener case and to directly measurable quantities on a historical dataset in real markets.
Keywords
Cite
@article{arxiv.cond-mat/9907339,
title = {Transaction costs: a new point of view},
author = {R. Baviera},
journal= {arXiv preprint arXiv:cond-mat/9907339},
year = {2008}
}
Comments
20 pages, LaTeX, 9 eps figures, submitted to Int. J. Theor. Appl. Finance