transcost {CondReg}R Documentation

Compute transaction cost

Description

Compute transaction cost

Usage

transcost(wnew, wold, lastearnings, reltc, wealth)

Arguments

wnew

new portfolio weights

wold

old portfolio weights

lastearnings

earnings from last period

reltc

relative transaction cost

wealth

current wealth

Value

transaction cost of rebalancing portfolio


[Package CondReg version 0.20 Index]