英文标题：
《The impact of proportional transaction costs on systematically generated
portfolios》
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作者：
Johannes Ruf and Kangjianan Xie
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最新提交年份：
2019
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英文摘要：
The effect of proportional transaction costs on systematically generated portfolios is studied empirically. The performance of several portfolios (the index tracking portfolio, the equally-weighted portfolio, the entropy-weighted portfolio, and the diversity-weighted portfolio) in the presence of dividends and transaction costs is examined under different configurations involving the trading frequency, constituent list size, and renewing frequency. Moreover, a method to smooth transaction costs is proposed.
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中文摘要：
实证研究了比例交易成本对系统生成投资组合的影响。在涉及交易频率、成分列表大小和更新频率的不同配置下，考察了几个投资组合（指数跟踪投资组合、等权投资组合、熵权投资组合和多样性加权投资组合）在存在股息和交易成本的情况下的表现。此外，还提出了一种平滑交易成本的方法。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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