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Quantitative Finance · Begrippenlijst

Wat is Portfolio turnover, linear cost model?

Ook bekend als: portfolio turnover · linear cost model

Definition 16.3 Research Craft: Predictors, Backtests, Measurement, Portfolios · Hoofdstuk 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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