haku: @indexterm transaction costs / yhteensä: 345
viite: 246 / 345
| Tekijä: | Pelsser, A. Vorst, T. |
| Otsikko: | Transaction costs and efficiency of portfolio strategies |
| Lehti: | European Journal of Operational Research
1996 : JUN 7, VOL. 91:2, p. 250-263 |
| Asiasana: | MANAGEMENT OPTIONS TRANSACTION COSTS |
| Kieli: | eng |
| Tiivistelmä: | Some recent results for frictionless economies show that popular dynamic portfolio strategies such as stop-loss and lock-in are inefficient. I.e. for each of these strategies there exists an alternative portfolio strategy that gives the same final payoff distribution at lower initial costs. However, the alternative strategies require considerably more active trading than the simple strategies. The results rely heavily on the assumption of no transaction costs. Under this assumption the initial investment required is a linear function of the prices of the contingent claims that build the final payoff distribution. |
SCIMA