Transaction fees and optimal rebalancing in the growth-optimal portfolio
نویسندگان
چکیده
منابع مشابه
Transaction fees and optimal rebalancing in the growth-optimal portfolio
The growth-optimal portfolio optimization strategy pioneered by Kelly is based on constant portfolio rebalancing which makes it sensitive to transaction fees. We examine the effect of fees on an example of a risky asset with a binary return distribution and show that the fees may give rise to an optimal period of portfolio rebalancing. The optimal period is found analytically in the case of log...
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Transaction costs can make it unprofitable to rebalance all the way to the ideal portfolio. A single-period analysis using mean-variance theory provides many interesting insights. With fixed or variable costs, there is a non-trading region within which trading does not pay. With only variable costs, any trading is to the boundary of the non-trading region, while fixed costs induce trading to th...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2011
ISSN: 0378-4371
DOI: 10.1016/j.physa.2010.12.031