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Transaction fees and optimal rebalancing in the growth-optimal portfolio
growth-optimal portfolio Kelly game transaction fees
2010/10/21
The growth-optimal portfolio optimization strategy pioneered by Kelly is based on constant portfolio rebalancing which makes it sensitive to transaction fees. We examine the effect of fees on an exam...
Usefulness of expected values in liability valuation: the role of portfolio size
Liability Valuation Expected Value Portfolio Size
2010/10/18
This study investigates whether the usefulness of expected values to financial statement
users depends on portfolio size (N). Given that standard setting boards require some liabilities to be measure...