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Optimal Position Size with Transaction Costs given Forecast Mean and StDev
I have rather a challenging question. I'm hoping that someone can share their experience. I will build up the problem in steps.
Let's start our thinking with the idea of a buy and hold strategy of ...
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Performance of 1X0/X0 funds vs. traditional benchmarks?
Some years ago there was a proliferation of new products touting the ability of active managers to take short bets on securities: 130/30 funds, 150/50 funds, and the like.
What is the empirical ...
