Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/282184 
Year of Publication: 
2024
Series/Report no.: 
Working Paper No. 420
Version Description: 
Revised version, January 2024
Publisher: 
University of Zurich, Department of Economics, Zurich
Abstract: 
Markowitz portfolio selection is a cornerstone in finance, in academia as well as in the industry. Most academic studies either ignore transaction costs or account for them in a way that is both unrealistic and suboptimal by (i) assuming transaction costs to be constant across stocks and (ii) ignoring them at the portfolio-selection state and simply paying them 'after the fact'. Our paper proposes a method to fix both shortcomings.. As we show, if transaction costs are accounted for (properly) at the portfolio-selection stage, net performance in terms of the Sharpe ratio often increases, in particular for high-turnover strategies.
Subjects: 
Covariance matrix estimation
mean-variance efficiency
multivariate GARCH
portfolio selection
transaction costs
JEL: 
C13
G11
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
549.46 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.