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A stochastic multi-stage trading cost model in optimal portfolio selection

Mushori, Sabastine; Chikobvu, Delson - 2016

We propose a multi-stage stochastic trading cost model in optimal portfolio selection. This strategy captures uncertainty in implicit transaction costs incurred by an investor during initial trading and in subsequent rebalancing of the portfolio. We assume that implicit costs are stochastic as...

Persistent link: https://www.econbiz.de/10011784572

Dynamic Asset Allocation with Stochastic Interest Rates and Transaction Costs

Leirvik, Thomas - 2011

We investigate the optimal investment problem when the interest rate is stochastic and the investor must pay proportional transaction costs when buying and selling the risky assets. We first consider a portfolio of bonds and transaction costs.We then add a stock to the portfolio, and analyze the...

Persistent link: https://www.econbiz.de/10013128446

A Note on Finite Horizon Optimal Investment and Consumption with Transaction Cost

Dai, Min - 2011

We remove the technical assumption $\gamma>0$ imposed by Dai et. al. who consider the optimal investment and consumption decision of a CRRA investor facing proportional transaction costs and finite time horizon. As a by-product, we obtain an estimate on the optimal consumption

Persistent link: https://www.econbiz.de/10013128738

Mean-Variance Portfolio Rebalancing with Transaction Costs

Dybvig, Philip H.; Pezzo, Luca - 2020

As in continuous time, the nontrading region (NTR) in a mean-variance model with fixed, proportional, and quadratic trading costs is a singleton only for pure quadratic costs. Utility loss from costs is approximately proportional at small cost levels, and approximately constant at large cost...

Persistent link: https://www.econbiz.de/10014352349

On the interface between optimal periodic and continuous dividend strategies in the presence of transaction costs

Avanzi, Benjamin; Tu, Vincent; Wong, Bernard - In: Astin bulletin : the journal of the International … 46 (2016) 3, pp. 709-746

Persistent link: https://www.econbiz.de/10011669766

Optimal Periodic Dividend Strategies for Spectrally Positive Lévy Risk Processes With Fixed Transaction Costs

Avanzi, Benjamin - 2019

periodically in real life, we study periodic dividend strategies whereby dividend decisions are made according to a Poisson arrival … process. In this paper, we investigate the impact of fixed transaction costs on the optimal periodic dividend strategy, and … that bring the surplus back to b <sub> l </sub> as long as it is no less than b <sub> u </sub> at a dividend decision time …

Persistent link: https://www.econbiz.de/10012896608

Consumption-Investment Optimization Problem in a Lévy Financial Model with Transaction Costs

Kabanov, Youri - 2015

We consider a consumption-investment optimization problem for the Kabanov model when the proportional transaction costs rate is constant and the prices are modeled by a Lévy process. We naturally extend the preliminary work of [4] to portfolio processes that are only supposed to be làdlàg....

Persistent link: https://www.econbiz.de/10013034994

Optimal Investment with Transaction Costs and Stochastic Volatility Part II : Finite Horizon

Bichuch, Maxim - 2018

In this companion paper to “Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon”, "http://ssrn.com/abstract=2374150" http://ssrn.com/abstract=2374150, we give an accuracy proof for the finite time optimal investment and consumption problem under fast...

Persistent link: https://www.econbiz.de/10012936951

The number of securities giving the maximum return in the presence of transaction costs

Lajili, Souad; Rakotondratsimba, Yves - Université Paris-Dauphine (Paris IX) - 2008

An essential element of any realistic investment portfolio selection is the consideration of transaction costs. Our purpose, in this paper, is to determine the maximum return and the corresponding number of securities to buy giving such return, whenever practical constraints features related to...

Persistent link: https://www.econbiz.de/10010748209

Machine Learning and the Implementable Efficient Frontier

Jensen, Theis Ingerslev; Kelly, Bryan T.; Malamud, Semyon; … - 2022

We propose that investment strategies should be evaluated based on their net-of-trading-cost return for each level of risk, which we term the "implementable efficient frontier." While numerous studies use machine learning return forecasts to generate portfolios, their agnosticism toward trading...

Persistent link: https://www.econbiz.de/10013492674