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

Document Type : Original Article

Authors
Romina Atrchi
Shahin Ramtinnia
Ph.D student of finance-financial engineering, Tehran university.
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.
 
 
Keywords
transaction costs
Portfolio performance
Optimization
Conditional Value at Risk
No-trade region
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