Discrete trading and transaction Sample Clauses

Discrete trading and transaction costs‌ In the standard Merton model trading occurs on a continuous basis to retain the optimal asset allocation. In reality, we are restricted to trading in a discrete time setting in which we could approach a continuous trading strategy. A concern of such a trading strategy could be the costs associated with it. These costs are nonnegligible and therefore a trade-off should be made between transaction costs and approaching the con- tinuous trading strategy prescribed. Xxxxxxxxx et al. (2007) [12] concluded that a discrete trading strategy leads to a welfare loss of 0.3%.
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Related to Discrete trading and transaction

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