Transaction costs have a first-order effect on the performance of currency portfolios. Proportional costs based on quoted bid–ask spread are relatively small, but when a fund is large, costs due to the trading volume price impact are sizable and quickly erode returns, leaving many popular strategies unprofitable. A mean–variance-transaction-cost optimized approach (MVTC) that accounts for costs in the optimization efficiently tackles the problem with only relatively minor negative implications on before-cost profitability. MVTC is robust even when the price impact of trading is severe. Finally, we introduce an accurate extrapolation approach to expand the sample of the realized Amihud measure of Ranaldo and Santucci de Magistris (2022) from 12 to 26 currencies and from 2012 back in time to 1986.

中文翻译：

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交易成本对于外汇市场资产配置的重要性


交易成本对货币投资组合的表现具有一阶效应。基于报价的买卖价差的比例成本相对较小，但当基金规模较大时，由于交易量价格影响而产生的成本相当大，并迅速侵蚀回报，导致许多流行策略无利可图。在优化中考虑成本的均值-方差-交易成本优化方法（MVTC）有效地解决了这个问题，对成本前盈利能力只有相对较小的负面影响。即使交易的价格影响很严重，MVTC 也很稳健。最后，我们引入了一种准确的外推方法，将 Ranaldo 和 Santucci de Magistris (2022) 的已实现 Amihud 指标的样本从 12 种货币扩大到 26 种货币，并从 2012 年回到 1986 年。