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Browsing Mathematics & Statistics by Subject "transaction costs"

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Browsing Mathematics & Statistics by Subject "transaction costs"

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  • Guasoni, Paolo; Mayerhofer, Eberhard (Wiley and Sons Ltd, 2019)
    When trading incurs proportional costs, leverage can scale an asset's return only up to a maximum multiple, which is sensitive to its volatility and liquidity. In a model with one safe and one risky asset, with constant ...

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