Publication: Markowitz portfolios under transaction costs
Markowitz portfolios under transaction costs
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Ledoit, O., & Wolf, M. (2024). Markowitz portfolios under transaction costs (No. 420; Working Paper Series / Department of Economics).
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Markowitz portfolio selection is a cornerstone in finance, in academia as well as in the industry. Most academic studies either ignore transaction costs or account for them in a way that is both unrealistic and suboptimal by (i) assuming transaction costs to be constant across stocks and (ii) ignoring them at the portfolio-selection state and simply paying them after the fact. Our paper proposes a method to fix both shortcomings. As we show, if transaction costs are accounted for (properly) at the portfolio-selection stage, net perfor
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Ledoit, O., & Wolf, M. (2024). Markowitz portfolios under transaction costs (No. 420; Working Paper Series / Department of Economics).
