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Transaction costs and predictability: some utility cost calculations

Article Abstract:

The loss in utility for a consumer who ignores any or all three problems related to transaction costs was examined. The three problems were the multi-period nature of the customer's portfolio-choice problem, documented predictability of asset returns or transaction costs. The results showed that myopic behavior or ignorance of predictability or realistic transactions costs resulted in substantial costs for the consumer.

Author: Lynch, Anthony W., Balduzzi, Pierluigi
Publisher: Elsevier B.V.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 1999
Portfolio Management, Research, Consumption (Economics), Utility theory, Utility functions

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Survivorship bias and the attrition effects in measures of performance persistence

Article Abstract:

US mutual fund performance is assessed, including the impact of attrition, with a focus on methodology.

Author: Lynch, Anthony W., Carpenter, Jennifer N.
Publisher: Elsevier B.V.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 1999
Economics, Research and Development in the Social Sciences and Humanities, Financial services industry, Financial services, Mutual funds

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Subjects list: Economic aspects
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