Optimal statistical arbitrage trading of Berkshire Hathaway stock and its replicating portfolio
Fig 5
The relationship of expected return, a, and c when the replicating asset is constructed by the five-factor model. This figure presents the relationship between the expected return, a, and transaction cost when the replicating asset is constructed by the five-factor model. This example uses parameters α = 0.01702, η = 0.05748, c = 0.001~0.007.