Kolm and Ritter present a multiperiod, multi-asset selection model with transacion costs, kept computationally tractrable
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Using cryptography to validate transactions may transform finance
The theory of optimal trading under proportional transaction costs has been considered from a variety of perspectives. In this paper, Richard Martin shows that all results can be interpreted using a...
Counting the cost
BP’s Gulf of Mexico oil spill forces risk managers to look at long-term margin costs and soaring oil prices post-2012
A new study looking at reverse convertibles in the Dutch market, one of the most developed in the world, has concluded that plain vanilla and knock-in reverse convertible bonds are, on average, overpriced...
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.