Managed portfolio performance and transaction costs

Nick Taylor

Applied Economics Letters, 2015, vol. 22, issue 4, 272-280

Abstract: In this work the economic value of conditioning information within a multi-asset dynamic portfolio setting is examined. The article innovates by deriving a simple closed-form expression for the optimal portfolio weights in the presence of quadratic transaction costs. An application to US stock and bond data provides an estimate of the maximum transaction cost level that will allow the value of conditioning information to be statistically significant.

Date: 2015
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DOI: 10.1080/13504851.2014.937032

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