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 -...
|Authors and Corporations:||, ,|
|Other Authors:||Pezzo, Luca , Taylor, Mark P.|
|Type of Resource:||E-Book|
[S.l.] SSRN