The risk of falling short: implementation shortfall variance in portfolio construction
研究了交易成本方差对投资组合绩效的影响，基于大型机构数据构建交易成本协方差矩阵，发现考虑该风险能提升净风险调整后收益。
Transaction cost variance introduces a risk often neglected in portfolio optimization. Adopting a mean-variance portfolio optimization problem, we show that including a transaction cost variance term can significantly impact the associated portfolios' performances. Transaction cost variance is estimated based on a transaction cost model constructed using proprietary data from a large institutional investment company. In addition to variance, we estimate transaction cost covariances and construct a transaction cost covariance matrix. Using a standard time-series model setup for returns, we show that considering transaction cost covariance leads to improved net risk-adjusted performance.