Transaction costs and predictability: some utility cost calculations

• 1 April 1999
• journal article
• Published by Elsevier in Journal of Financial Economics
• Vol. 52  (1) , 47-78
• https://doi.org/10.1016/s0304-405x(99)00004-5

Abstract

Keywords

• G11
• G12
• PORTFOLIO CHOICE
• TRANSACTION COSTS
• RETURN PREDICTABILITY
• UTILITY COST