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...

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

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...

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...

Consider using the simple moving average (MA) rule of Gartley (1935) to determine when to buy stocks, and when to sell them and switch to the risk-free rate. In comparison, how might the performance be affected if the frequency is changed to the use of MA calculations? The empirical results show...

A direct relationship between the observed investment beliefs held by pension funds and performance measures is tested using an international sample of pension funds. Investment beliefs address strategic choices in the investment philosophy and process that affect the future performance of the...

This paper focuses on cross-sectional equity momentum patterns by modeling a stock's price path as the interaction between a long-term growth component and a number of fluctuating price components that oscillate around the long-term trend at various distinct frequencies. Using this...

I study how mutual funds invest in public U.S. firms where founding family members retain a significant portion of shares. I posit that informed funds exploit the opaque nature of family firms by holding large positions when they have good private signals about the firms. By studying actively...

The need to serve stakeholders better in an environment of stagnant public investment and concerns about the cost of higher education has led innovative institutions to seek new revenue sources and more ways to meet the needs of its constituencies. Among the strategies employed by Arizona State...