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Quantitative Finance · Glossaire

Qu'est-ce que « Portfolio turnover, linear cost model » ?

Aussi appelé : portfolio turnover · linear cost model

Definition 16.3 Research Craft: Predictors, Backtests, Measurement, Portfolios · Chapitre 16 — Vectorised Backtests

The portfolio turnover of a period is half the sum of the absolute weights traded, the fraction of the book replaced. A linear cost model charges each trade a fixed cost per unit of weight traded (a half-spread plus commissions), independent of its size.

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