Chapter 16: Strategy Simulation
Turnover as a Cost-Survival Diagnostic intermediate
How turnover converts gross edge into cost burden, and how to compute a quick break-even frontier before doing full transaction-cost analysis.
How turnover converts gross edge into cost burden, and how to compute a quick break-even frontier before doing full transaction-cost analysis.
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References
The Elements of Quantitative Investing
Giuseppe A. Paleologo
(2025)
— John Wiley & Sons
Active portfolio management: A quantitative approach for providing superior returns and controlling risk
Richard C.. Grinold, Ronald N.. Kahn
(2000)
— McGraw-Hill
Trading Costs
Andrea Frazzini, Ronen Israel, Tobias J. Moskowitz
(2018)