Professor Linus Wilson reads his paper "Discrete Portfolio Adjustment with Fixed Transaction Costs"
Suggested Citation:
Wilson, Linus, Discrete Portfolio Adjustment with Fixed Transaction Costs (January 3, 2016). Available at SSRN: https://ssrn.com/abstract=2406021 or http://dx.doi.org/10.2139/ssrn.2406021
This paper presents a closed form solution to the portfolio adjustment problem in discrete time when the investor faces fixed transaction costs. This transaction cost model assumes a mean-variance investor who wants to adjust her holdings of a risky and risk-free asset. It is shown how this model can be calibrated to be used with a variety of risk models such as life cycle portfolio weights and value at risk (VaR) models. The decision problem can easily be inputted into and calculated in Excel.
Keywords: adjustment costs, alpha models, brokerage commissions, fixed costs, lifecycle funds, portfolio selection, portfolio theory, risk management, transaction costs, Value at Risk (VaR)
JEL Classification: G11
Click the orange download button to get the full paper on SSRN.
”Saving the Toughest for Last: 50th Completers’ Final U.S. State High Points” by Linus Wilson
”Does Difficulty Affect U.S. State High Points Ascents?” by Dr. Linus Wilson, Ep. 19
”The Fed Funds Risk-Premium after the Silicon Valley Bank Run and the Bank Term Funding Program (BTFP)” Ep. 18 by Dr. Linus Wilson
Profitable Timing of the Stock Market with the Senior Loan Officer Survey by Linus Wilson Ep. 17
Estimating the Value of Statistical Life (VSL) Losses from COVID-19 Infections in the United States
GPU Prices and Cryptocurrency Returns. Is the crypto boom creating a semiconductor shortage? with Linus Wilson #15
The Mystery of the COVID-19 Infection Fatality Rate (IFR) Unraveled (#14) with Dr. Linus Wilson
COVID-19: Save Lives or the Economy? The Benefits of Social Distancing in the Pandemic and the Value of Statistical Life (#13)
The 2020 Presidential Election: A Race Against Mortality (#12) by Linus Wilson
Ep. 11: Clickbait Works! The secret to getting views with the YouTube algorithm by Linus Wilson
Ep, 10: Broken Bucks, Money Funds that Took Taxpayer Guarantees in 2008
Ep. 9: "A Dove to Hawk Ranking of the Martin to Yellen Federal Reserves" by Linus Wilson
Ep. 8: The Fed Boosts CMBS Markets "Toxic Asset Subsidies and the Early Redemption of TALF Loans" by Linus Wilson
Ep. 7: The Federal Reserve's $700 Billion Commercial Paper Bailout with Linus Wilson
Ep. 6: Andrew Metrick Presents "Managing and Preventing Financial Crises" at the 2017 Financial Management (FMA) Meetings in Boston
Ep. 4: Overpaid CEOs Got FDIC Debt Guarantees
Ep. 3: How to Compare Faculty Pay Across the Business School by Linus Wilson
Ep. 2: Crowdfunding on Patreon on The Finance Professor Podcast with Linus Wilson
Ep. 1: Introducing the Finance Professor Podcast by Linus Wilson
Create your
podcast in
minutes
It is Free
A Taste of TEDTalks
PragerU
The History of the Ottoman Empire
THED Talks
Secrets of the Campus Cadavers