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Optimal portfolio selection for the small investor considering risk and transaction costs

机译:考虑风险和交易成本的小型投资者的最佳投资组合选择

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A direct application of classical portfolio selection theory is problematic for the small investor because of transaction costs in the form of bank and broker fees. In particular, minimum fees force the investor to choose a comparatively rather small selection of assets. The existence of transaction costs leads to an optimization problem that juxtaposes those costs against the risk costs that arise with portfolios consisting of only a few assets. Despite the non-convex and, thus, complex optimization, an algorithmic solution turns out to be very fast and precise. An empirical study shows that, for smaller investment volumes, transaction costs dominate risk costs so that optimal portfolios contain only a very small number of assets. Based upon these results, the cost-effectiveness of direct investments is compared to alternative vehicles, particularly index certificates and exchange-traded funds, depending on the level of invested wealth.
机译:对于小投资者来说,直接应用经典的投资组合选择理论是有问题的,因为交易成本以银行和经纪人费用的形式出现。特别是,最低费用迫使投资者选择相对较小的资产选择。交易成本的存在导致了一个优化问题,该问题将这些成本与仅包含少量资产的投资组合所产生的风险成本并列。尽管存在非凸性,因而复杂的优化,但算法解决方案却非常快速且精确。一项经验研究表明,对于较小的投资额,交易成本支配着风险成本,因此最优投资组合仅包含极少量的资产。根据这些结果,将直接投资的成本效益与替代工具(尤其是指数证书和交易所买卖基金)进行比较,具体取决于投资财富的水平。

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