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Title: The impact of transaction costs in portfolio optimization in Peru
Authors(s): Chavalle, Luc
Advisor(s): Chávez-Bedoya Mercado, Luis C.
OCDE field: https://purl.org/pe-repo/ocde/ford#5.02.04
Issue Date: 2017
Institution: Universidad ESAN
Abstract: The goal of this thesis is to analyze the behavior of the transaction costs structure in Peru over three dimensions. The first dimension is the the type and number of stocks in the portfolio. The thesis concludes that transaction costs tend to be higher when the portfolio is composed of stocks with small market capitalizations than with stocks with large market capitalizations. The second dimension is the holding period. The thesis concludes that transaction costs tend to decrease when the holding period increases. Also, entry and exit costs corresponding to the period of composing the portfolio and the period of liquidating the portfolio tend to be diluted when the holding period is higher. The third dimension is the trading strategy. The thesis concludes that active trading strategies characterized by a lot of rebalancing face higher transaction costs.
Discipline: Administración
Grade or title grantor: Universidad ESAN. Escuela de Administración de Negocios para Graduados
Grade or title: Maestro/Magíster en Administración
Juror: Guillén Uyen, Jorge B.; Mendiola Cabrera, Alfredo
Register date: 24-Jul-2017; 24-Jul-2017



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