Author: Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
The Effect of Transaction Costs on Portfolio Optimisation in Discrete Time
Author: Discrete-Time Portfolio Optimization with Transaction Costs
Author: Feiran TaoPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This paper studies a fini ...
Portfolio Optimisation and Option Pricing in Discrete Time with Transaction Costs
Author: Gary Sze Huat QuekDiscrete Time Portfolio Management with Transaction Costs
Author: A. D. IrvingPublisher:
ISBN:
Category : Economics
Languages : en
Pages : 20
Book Description
Discrete Portfolio Adjustment with Fixed Transaction Costs
Author: Linus WilsonPublisher:
ISBN:
Category :
Languages : en
Pages : 14
Book Description
This paper presents a closed form solution to the portfolio adjustment problem in discrete time when the investor faces fixed transaction costs. This transaction cost model assumes a mean-variance investor who wants to adjust her holdings of a risky and risk-free asset. It is shown how this model can be calibrated to be used with a variety of risk models such as life cycle portfolio weights and value at risk (VaR) models. The decision problem can easily be inputted into and calculated in Excel.
Multi-period Portfolio Optimization in the Presence of Transaction Costs
Author: Husnu KipeakMulti-Period Trading Via Convex Optimization
Author: Stephen BoydPublisher:
ISBN: 9781680833287
Category : Mathematics
Languages : en
Pages : 92
Book Description
This monograph collects in one place the basic deļ¬nitions, 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.
Dynamic Portfolio Optimization with Liquidity Cost and Market Impact
Author: Rongju ZhangPublisher:
ISBN:
Category :
Languages : en
Pages : 27
Book Description
We present a simulation-and-regression method for solving dynamic portfolio optimization problems in the presence of general transaction costs, liquidity costs and market impact. This method extends the classical least squares Monte Carlo algorithm to incorporate switching costs, corresponding to transaction costs and transient liquidity costs, as well as multiple endogenous state variables, namely the portfolio value and the asset prices subject to permanent market impact. To handle endogenous state variables, we adapt a control randomization approach to portfolio optimization problems and further improve the numerical accuracy of this technique for the case of discrete controls. We validate our modified numerical method by solving a realistic cash-and-stock portfolio with a power-law liquidity model. We identify the certainty equivalent losses associated with ignoring liquidity effects, and illustrate how our dynamic optimization method protects the investor's capital under illiquid market conditions. Lastly, we analyze, under different liquidity conditions, the sensitivities of certainty equivalent returns and optimal allocations with respect to trading volume, stock price volatility, initial investment amount, risk aversion level and investment horizon.
Portfolio Optimization in the Financial Market with Regime Switching Under Constraints, Transaction Costs and Different Rates for Borrowing and Lending
Author: Vladimir DombrovskiiPublisher:
ISBN:
Category :
Languages : en
Pages : 8
Book Description
In this work, we consider the optimal portfolio selection problem under hard constraints on trading amounts, transaction costs and different rates for borrowing and lending when the dynamics of the risky asset returns are governed by a discrete-time approximation of the Markov-modulated geometric Brownian motion. The states of Markov chain are interpreted as the states of an economy. The problem is stated as a dynamic tracking problem of a reference portfolio with desired return. Our approach is tested on a set of a real data from Russian Stock Exchange MICEX.
Author: Alan Robert Jung