Importance of Transaction Costs for Asset Allocation in Foreign Exchange Markets

Name: Importance of Transaction Costs for Asset Allocation in Foreign Exchange Markets
Creator: Ilias Filippou
Published: 2024-05-28T08:36:02.223Z
Keywords: Transaction Cost, Foreign Exchange

Filippou, Ilias; Maurer, Thomas; Pezzo, Luca; Taylor, Mark

doi:10.17632/mkm2z8p6gf.2

Importance of Transaction Costs for Asset Allocation in Foreign Exchange Markets

Published: 28 May 2024| Version 2 | DOI: 10.17632/mkm2z8p6gf.2

Contributors:

Ilias Filippou, Thomas Maurer, Luca Pezzo, Mark Taylor

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Matlab codes and data to generate the results of the paper "Importance of Transaction Costs for Asset Allocation in Foreign Exchange Markets." We are not allowed to publicly share all data that is required to generate the results. We provide simulated data instead so that it is still possible to run the codes. The README file contains detail descriptions. Updates in Version 2: new README.rtf file with more details.

Importance of Transaction Costs for Asset Allocation in Foreign Exchange Markets

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