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Author: Valeriy Zakamulin Publisher: ISBN: Category : Languages : en Pages : 28
Book Description
In this paper we study the continuous time optimal portfolio selection problem for an investor with a finite horizon who maximizes expected utility of terminal wealth and faces transaction costs in the capital market. It is well known that, depending on a particular structure of transaction costs, such a problem is formulated and solved within either stochastic singular control or stochastic impulse control framework. In this paper we propose a unified framework, which generalizes the contemporary approaches and is capable to deal with any problem where transaction costs are a linear/piecewise-linear function of the volume of trade. We also discuss some methods for solving numerically the problem within our unified framework.
Author: Valeriy Zakamulin Publisher: ISBN: Category : Languages : en Pages : 28
Book Description
In this paper we study the continuous time optimal portfolio selection problem for an investor with a finite horizon who maximizes expected utility of terminal wealth and faces transaction costs in the capital market. It is well known that, depending on a particular structure of transaction costs, such a problem is formulated and solved within either stochastic singular control or stochastic impulse control framework. In this paper we propose a unified framework, which generalizes the contemporary approaches and is capable to deal with any problem where transaction costs are a linear/piecewise-linear function of the volume of trade. We also discuss some methods for solving numerically the problem within our unified framework.
Author: Xin Guo Publisher: CRC Press ISBN: 1315354357 Category : Business & Economics Languages : en Pages : 414
Book Description
The first part of this book discusses institutions and mechanisms of algorithmic trading, market microstructure, high-frequency data and stylized facts, time and event aggregation, order book dynamics, trading strategies and algorithms, transaction costs, market impact and execution strategies, risk analysis, and management. The second part covers market impact models, network models, multi-asset trading, machine learning techniques, and nonlinear filtering. The third part discusses electronic market making, liquidity, systemic risk, recent developments and debates on the subject.
Author: Frank J. Fabozzi Publisher: John Wiley & Sons ISBN: 0470164891 Category : Business & Economics Languages : en Pages : 513
Book Description
Praise for Robust Portfolio Optimization and Management "In the half century since Harry Markowitz introduced his elegant theory for selecting portfolios, investors and scholars have extended and refined its application to a wide range of real-world problems, culminating in the contents of this masterful book. Fabozzi, Kolm, Pachamanova, and Focardi deserve high praise for producing a technically rigorous yet remarkably accessible guide to the latest advances in portfolio construction." --Mark Kritzman, President and CEO, Windham Capital Management, LLC "The topic of robust optimization (RO) has become 'hot' over the past several years, especially in real-world financial applications. This interest has been sparked, in part, by practitioners who implemented classical portfolio models for asset allocation without considering estimation and model robustness a part of their overall allocation methodology, and experienced poor performance. Anyone interested in these developments ought to own a copy of this book. The authors cover the recent developments of the RO area in an intuitive, easy-to-read manner, provide numerous examples, and discuss practical considerations. I highly recommend this book to finance professionals and students alike." --John M. Mulvey, Professor of Operations Research and Financial Engineering, Princeton University
Author: Renata Mansini Publisher: Springer ISBN: 3319184822 Category : Business & Economics Languages : en Pages : 131
Book Description
This book presents solutions to the general problem of single period portfolio optimization. It introduces different linear models, arising from different performance measures, and the mixed integer linear models resulting from the introduction of real features. Other linear models, such as models for portfolio rebalancing and index tracking, are also covered. The book discusses computational issues and provides a theoretical framework, including the concepts of risk-averse preferences, stochastic dominance and coherent risk measures. The material is presented in a style that requires no background in finance or in portfolio optimization; some experience in linear and mixed integer models, however, is required. The book is thoroughly didactic, supplementing the concepts with comments and illustrative examples.
Author: Stephen Boyd Publisher: ISBN: 9781680833287 Category : Mathematics Languages : en Pages : 92
Book Description
This monograph collects in one place the basic definitions, a careful description of the model, and discussion of how convex optimization can be used in multi-period trading, all in a common notation and framework.
Author: Anthony V. Fiacco Publisher: SIAM ISBN: 0898712548 Category : Mathematics Languages : en Pages : 224
Book Description
Analyzes the 'central' or 'dual' trajectory used by modern path following and primal/dual methods for convex / general linear programming.
Author: Pierre Chen Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
In this short note, we consider mean-variance optimized portfolios with transaction costs. We show that introducing quadratic transaction costs makes the optimization problem more difficult than using linear transaction costs. The reason lies in the specification of the budget constraint, which is no longer linear. We provide numerical algorithms for solving this issue and illustrate how transaction costs may considerably impact the expected returns of optimized portfolios.
Author: Publisher: ISBN: Category : Languages : en Pages :
Book Description
In this thesis we extend the Markowitz Mean-Variance model to a rebalancing portfolio optimization problem incorporating realistic considerations such as transaction costs and a risk-free asset with short-selling allowed, and we apply the Tabu Search (TS) heuristic to solve practical portfolio problems. First of all, we propose a biobjective portfolio optimization model which we expect to yield a portfolio equilibrium by combining the two objectives: maximize the portfolioââ'¬â"¢s expected return and minimize its risk. For realistic portfolio problems we consider the multi-objective portfolio optimization models incorporating the risk-free asset and its short-selling and nonlinear transaction costs based on a single-period and a rebalancing portfolio optimization problem. Especially, to solve the rebalancing portfolio problem, we develop an adaptive, advanced TS algorithm having an evolutionary neighborhood structure, and we solve the problem with an iterative folding back procedure in the decision tree structure. Computational studies are performed with a risk-free asset and the number of risky assets to be 5, 10, 12, and 15 for both the single-period and rebalancing portfolio problems.
Author: Valeriy Zakamulin
Author: Valeriy Zakamulin
Author: Xin Guo
Author: Marina Potaptchik
Author: Frank J. Fabozzi
Author: Renata Mansini
Author: Sungsoo Na
Author: Stephen Boyd
Author: Anthony V. Fiacco
Author: Pierre Chen
Author: