It will be examined what the optimal trading strategy is for an investor when trading costs are present. This will be done for different portfolios. The trading costs are assumed to be proportional to the amount of each asset traded. Amongst other findings, it was found that for periodic rebalancing the yearly interval and for no-trade region rebalancing the 1% interval provide the investor, with risk aversion A = 10, with the highest utility as well as the highest absolute return. When the different scenarios were compared to the benchmark scenario, which is a scenario without rebalancing, it was seen that the returns of the benchmark cases are most of the time higher. However, due to the fact that the standard deviation of these scenarios is also higher, the higher return is offset and there are scenarios with rebalancing which still provide the investor with a higher utility.

Netspar, Network for Studies on Pensions, Aging and Retirement, is een denktank en kennisnetwerk. Netspar is gericht op een goed geïnformeerd pensioendebat.


Missie en strategie           •           Netwerk           •           Organisatie           •          Magazine
Netspar Brief            •            Werkprogramma 2019-2023           •           Onderzoekagenda


Onze partners

B20160708_universiteit leiden
BPL_Pensioen_logo+pay-off - 1610-1225 v1.1_grijswaarden
B20220329_sph huisartsen
Bekijk al onze partners