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| Tekijä: | Lynch, A. W. Balduzzi, P. |
| Otsikko: | Predictability and transaction costs: the impact on rebalancing rules and behavior |
| Lehti: | Journal of Finance
2000 : OCT, VOL.15:5, p. 2285-2309 |
| Asiasana: | Investors Shareholders Portfolio investment USA |
| Kieli: | eng |
| Tiivistelmä: | The authors examine the portfolio decisions of a long-lived investor with constant relative risk aversion in the presence of transaction costs. Two types of costs are evaluated: proportional to the change in the holding of the risky asset and a fixed fraction of portfolio value. The paper focuses on how return predictability affects portfolio choice and rebalancing behavior when transaction costs are nonzero. |
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