An Investigation of methods to reduce transaction costs in Tehran Stock Exchange

Subject Areas : Journal of Investment Knowledge

Romina Atrchi ¹ , Shahin Ramtinnia ²

1 - Ph.D student of finance-financial engineering, Tehran university.
2 - Ph.D student of finance-financial engineering, Tehran university.

Received: 2017-02-04 Accepted : 2017-05-07 Published : 2018-06-22

Keywords: transaction costs, Portfolio performance, Optimization, Conditional Value at Risk, No-trade region,

Abstract :

Among 37 methods to reduce transaction costs introduced by Cha (2007), we recursively choose the best method for next period's investment in each of three portfolio strategies: Mean-Variance Optimization, Mean-CVaR Optimization, and the equally-weighted market. We identify a few of the best methods and offer a framework by which additional methods can be considered. Within our framework, the best methods recapture a substantial amount of wealth and significantly improve risk-adjusted performance, both economically and statistically. We used prices and returns of the 10 most active firms of Tehran Stock Exchange market, from 1391 to 1394 on a monthly basis in this research. The transactions costs reduction methods will be applied on them and the best methods will be identified. Also, a framework will be offered for comparison and investigation of new methods.    

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