The impact of proportional transaction costs on systematically generated portfolios

Johannes Ruf and Kangjianan Xie

Papers from arXiv.org

Abstract: The effect of proportional transaction costs on systematically generated portfolios is studied empirically. The performance of several portfolios (the index tracking portfolio, the equally-weighted portfolio, the entropy-weighted portfolio, and the diversity-weighted portfolio) in the presence of dividends and transaction costs is examined under different configurations involving the trading frequency, constituent list size, and renewing frequency. Moreover, a method to smooth transaction costs is proposed.

Date: 2019-04
New Economics Papers: this item is included in nep-mst
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