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q-fin.PM2019
Leakage of rank-dependent functionally generated trading strategies
Kangjianan Xie
This paper investigates the so-called leakage effect of trading strategies generated functionally from rank-dependent portfolio generating functions. This effect measures the loss…
q-fin.PM2019
The impact of proportional transaction costs on systematically generated portfolios
Johannes Ruf, Kangjianan Xie
The effect of proportional transaction costs on systematically generated portfolios is studied empirically. The performance of several portfolios (the index tracking portfolio, the…