working with transaction costs -凯发k8网页登录

setting transaction costs using the portfolio function

to set up transaction costs, you must specify an initial or current portfolio in the initport property. if the initial portfolio is not set when you set up the transaction cost properties, initport is 0. the properties for transaction costs can be set using the object. for example, assume that purchase and sale transaction costs are in the variables bc and sc and an initial portfolio is in the variable x0, then transaction costs are set:

bc = [ 0.00125; 0.00125; 0.00125; 0.00125; 0.00125 ];
sc = [ 0.00125; 0.007; 0.00125; 0.00125; 0.0024 ];
x0 = [ 0.4; 0.2; 0.2; 0.1; 0.1 ];
p = portfolio('buycost', bc, 'sellcost', sc, 'initport', x0);
disp(p.numassets)
disp(p.buycost)
disp(p.sellcost)
disp(p.initport)

    5
    0.0013
    0.0013
    0.0013
    0.0013
    0.0013
    0.0013
    0.0070
    0.0013
    0.0013
    0.0024
    0.4000
    0.2000
    0.2000
    0.1000
    0.1000

setting transaction costs using the setcosts function

you can also set the properties for transaction costs using . assume that you have the same costs and initial portfolio as in the previous example. given a portfolio object p with an initial portfolio already set, use to set up transaction costs:

bc = [ 0.00125; 0.00125; 0.00125; 0.00125; 0.00125 ];
sc = [ 0.00125; 0.007; 0.00125; 0.00125; 0.0024 ];
x0 = [ 0.4; 0.2; 0.2; 0.1; 0.1 ];
p = portfolio('initport', x0);
p = setcosts(p, bc, sc);
        
disp(p.numassets)
disp(p.buycost)
disp(p.sellcost)
disp(p.initport) 

    5
    0.0013
    0.0013
    0.0013
    0.0013
    0.0013
    0.0013
    0.0070
    0.0013
    0.0013
    0.0024
    0.4000
    0.2000
    0.2000
    0.1000
    0.1000

you can also set up the initial portfolio's initport value as an optional argument to so that the following is an equivalent way to set up transaction costs:

bc = [ 0.00125; 0.00125; 0.00125; 0.00125; 0.00125 ];
sc = [ 0.00125; 0.007; 0.00125; 0.00125; 0.0024 ];
x0 = [ 0.4; 0.2; 0.2; 0.1; 0.1 ];
p = portfolio;
p = setcosts(p, bc, sc, x0);
        
disp(p.numassets)
disp(p.buycost)
disp(p.sellcost)
disp(p.initport) 

    5
    0.0013
    0.0013
    0.0013
    0.0013
    0.0013
    0.0013
    0.0070
    0.0013
    0.0013
    0.0024
    0.4000
    0.2000
    0.2000
    0.1000
    0.1000

for an example of setting costs, see .

setting transaction costs with scalar expansion

both the object and the function implement scalar expansion on the arguments for transaction costs and the initial portfolio. if the numassets property is already set in the portfolio object, scalar arguments for these properties are expanded to have the same value across all dimensions. in addition, lets you specify numassets as an optional final argument. for example, assume that you have an initial portfolio x0 and you want to set common transaction costs on all assets in your universe. you can set these costs in any of these equivalent ways:

x0 = [ 0.4; 0.2; 0.2; 0.1; 0.1 ];
p = portfolio('initport', x0, 'buycost', 0.002, 'sellcost', 0.002);

or

x0 = [ 0.4; 0.2; 0.2; 0.1; 0.1 ];
p = portfolio('initport', x0);
p = setcosts(p, 0.002, 0.002);

or

x0 = [ 0.4; 0.2; 0.2; 0.1; 0.1 ];
p = portfolio;
p = setcosts(p, 0.002, 0.002, x0);

to clear costs from your portfolio object, use either the object or with empty inputs for the properties to be cleared. for example, you can clear sales costs from the portfolio object p in the previous example:

p = portfolio(p, 'sellcost', []);