Turnover and transaction costs in portfolio selection
1 view (last 30 days)
Show older comments
Good morning
I am doing some performance analysis work between the markowitz model and a model with limited number of assets, and to make the experiment more real I am trying to include the transaction costs associated with rebalancing my portfolios. I have all the turnovers calculated in consecutive periods, daily out-of-sample returns and cumulative wealth available. For the in-sample analysis I have considered a time window of one year and an out-of-sample window of 20 days, using the rolling time window technique. How can I estimate a reasonable but approximate transaction cost?
0 Comments
Answers (0)
See Also
Categories
Find more on Portfolio Optimization and Asset Allocation in Help Center and File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!