Transaction costs: a new point of view

R. Baviera
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R. Baviera: Dip. di Fisica and I.N.F.M., Universita' dell'Aquila, Italy

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Abstract: We consider a new approach to portfolio selection in presence of transaction costs which allows to map the problem into one without costs. The proposed approach connects all the quantities of interest to exit times and probabilities to reach barriers. This leads to analytic results in the Wiener case and to directly measurable quantities on a historical dataset in real markets.

Date: 1999-07
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