Alle boeken

Professioneel

Apps Over Coach Inloggen Begin met lezen

Quantitative Finance · Begrippenlijst

Wat is Turnover penalty?

Definition 25.5 Research Craft: Predictors, Backtests, Measurement, Portfolios · Hoofdstuk 25 — Portfolio Construction I

A turnover penalty subtracts κ ∥w−w0∥1\kappa\,\lVert w - w_0\rVert_1 from the objective, a linear cost on the weight traded from the current book w0w_0; a turnover limit bounds ∥w−w0∥1\lVert w - w_0\rVert_1 instead.

Cumulative returns after costs, each book scaled to 10% annual volatility so that the slopes compare information ratios. Data: rs_portcons.run.
Figure 25.2. Cumulative returns after costs, each book scaled to 10% annual volatility so that the slopes compare information ratios. Data: rs_portcons.run.
Lees in het hoofdstuk →