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Importance of Transaction Costs for Asset Allocations in FX Markets

Taking transaction costs into account in a mean-variance portfolio optimization in FX markets significantly improves the after cost Sharpe ratio out-of-sample. The optimization reduces trading costs and turnover, whereas the before cost performance remains unchanged. Rules-of-thumb to reduce costs -...

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Bibliographic Details
Authors and Corporations: Maurer, Thomas Andreas (Author), Pezzo, Luca (Other), Taylor, Mark P. (Other)
Other Authors: Pezzo, Luca , Taylor, Mark P.
Type of Resource: E-Book
Language: English
published:
[S.l.] SSRN [2020]
Source: Verbunddaten SWB
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