Markowitz portfolios under transaction costs

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance Pub Date : 2025-01-12 DOI:10.1016/j.qref.2025.101962

Olivier Ledoit, Michael Wolf

引用次数: 0

Abstract

Markowitz portfolio selection is a cornerstone in finance, in academia as well as in the industry. Most academic studies either ignore transaction costs or account for them in a way that is both unrealistic and suboptimal by (i) assuming transaction costs to be constant across stocks and (ii) ignoring them at the portfolio-selection state and simply paying them after the fact. Our paper proposes a method to fix both shortcomings. As we show, if transaction costs are accounted for (properly) at the portfolio-selection stage, net performance in terms of the Sharpe ratio often increases, in particular for high-turnover strategies.

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交易成本下的马科维茨投资组合

马科维茨的投资组合选择是金融、学术界和工业界的基石。大多数学术研究要么忽略交易成本，要么以一种既不现实又不理想的方式考虑交易成本，即：(1)假设交易成本在股票之间是恒定的；(2)在投资组合选择阶段忽略交易成本，只是在事后支付交易成本。本文提出了一种解决这两个缺点的方法。如我们所示，如果在投资组合选择阶段（适当地）考虑交易成本，夏普比率方面的净业绩通常会增加，特别是对于高周转率策略。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Quarterly Review of Economics and Finance ECONOMICS-

CiteScore

6.00

自引率

2.90%

发文量

118

期刊介绍： The Quarterly Review of Economics and Finance (QREF) attracts and publishes high quality manuscripts that cover topics in the areas of economics, financial economics and finance. The subject matter may be theoretical, empirical or policy related. Emphasis is placed on quality, originality, clear arguments, persuasive evidence, intelligent analysis and clear writing. At least one Special Issue is published per year. These issues have guest editors, are devoted to a single theme and the papers have well known authors. In addition we pride ourselves in being able to provide three to four article "Focus" sections in most of our issues.