Arbeitspapier
Markowitz portfolios under transaction costs
Markowitz portfolio selection is a cornerstone in finance, both in academia and 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 performance in terms of the Sharpe ratio increases, particularly so for high-turnover strategies.
- Sprache
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Englisch
- Erschienen in
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Series: Working Paper ; No. 420
- Klassifikation
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Wirtschaft
Estimation: General
Portfolio Choice; Investment Decisions
- Thema
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Covariance matrix estimation
mean-variance efficiency
multivariate GARCH
portfolio selection
transaction costs
- Ereignis
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Geistige Schöpfung
- (wer)
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Ledoit, Olivier
Wolf, Michael
- Ereignis
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Veröffentlichung
- (wer)
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University of Zurich, Department of Economics
- (wo)
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Zurich
- (wann)
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2022
- DOI
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doi:10.5167/uzh-221804
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Ledoit, Olivier
- Wolf, Michael
- University of Zurich, Department of Economics
Entstanden
- 2022