Economics, Econometrics and Finance
8 years ago

New portfolio rule slashes transaction costs, boosts performance significantly.

International Review of Finance
A Combination Rule for Portfolio Selection with Transaction Costs
Sangwon Suh

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The new portfolio rule combines existing rules with a no-rebalancing rule to improve portfolio performance in the presence of transaction costs. This combination rule can be applied to most existing portfolio rules and has been shown through simulations to greatly enhance portfolio performance compared to using existing rules alone.