Transaction costs: a new point of view

Details Transaction costs: a new point of view Transaction costs: a new point of view

1999-07-22

arxiv.org/abs/cond-mat/9907339v1

Physics

Condensed Matter

Disordered Systems and Neural Networks

20 pages, LaTeX, 9 eps figures, submitted to Int. J. Theor. Appl. Finance

Scientific paper

We consider a new approach to portfolio selection in presence of transaction costs which allows to map the problem into one without costs. The proposed approach connects all the quantities of interest to exit times and probabilities to reach barriers. This leads to analytic results in the Wiener case and to directly measurable quantities on a historical dataset in real markets.

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