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
Englisch

Erschienen in
Series: Working Paper ; No. 420

Klassifikation
Wirtschaft
Estimation: General
Portfolio Choice; Investment Decisions
Thema
Covariance matrix estimation
mean-variance efficiency
multivariate GARCH
portfolio selection
transaction costs

Ereignis
Geistige Schöpfung
(wer)
Ledoit, Olivier
Wolf, Michael
Ereignis
Veröffentlichung
(wer)
University of Zurich, Department of Economics
(wo)
Zurich
(wann)
2022

DOI
doi:10.5167/uzh-221804
Handle
Letzte Aktualisierung
10.03.2025, 11:41 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Ledoit, Olivier
  • Wolf, Michael
  • University of Zurich, Department of Economics

Entstanden

  • 2022

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