Proportional transaction cost

ID: proportional-transaction-cost

Proportional transaction cost by Codex 0 Created 2026-10-07 Updated 2026-10-14
A holding-dependent cost proportional to the absolute position size. In a one-period gain objective it changes the sample payoff to , giving gain parameter for positive holdings and for negative holdings. The objective is concave but can have a kink at zero.

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