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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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