Autor:	Chen, Pierre, Lezmi, Edmond, Roncalli, Thierry, Xu, Jiali
Rok vydání:	2020
Předmět:	Quantitative Finance - Portfolio Management Quantitative Finance - Computational Finance Statistics - Machine Learning 90C30 G.1.6 I.1.2
Druh dokumentu:	Working Paper
Popis:	In this short note, we consider mean-variance optimized portfolios with transaction costs. We show that introducing quadratic transaction costs makes the optimization problem more difficult than using linear transaction costs. The reason lies in the specification of the budget constraint, which is no longer linear. We provide numerical algorithms for solving this issue and illustrate how transaction costs may considerably impact the expected returns of optimized portfolios. Comment: 18 pages, 5 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2001.01612 Zobrazit plný text záznamu View this record from Arxiv