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High-frequency trading with Fractional Brownian Motion

Guasoni, Paolo; Mišura, Julija S.; Rásonyi, Miklós - 2020

In the high-frequency limit, conditional expected increments of fractional Brownian motion converge to a white noise, shedding their dependence on the path history and the forecasting horizon, and making dynamic optimization problems tractable. We find an explicit formula for locally...

Persistent link: https://www.econbiz.de/10012418370

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

Robust No Arbitrage Condition for Continuous-Time Models with Transaction Costs

Lepinette, Emmanuel - 2012

In frictionless markets, the absence of arbitrage opportunities is equivalent to the existence of a martingale process evolving in the ray R_ S where S is the d-dimensional price process (whose first component is the numeraire). With transaction costs, absence of arbitrage opportunities is...

Persistent link: https://www.econbiz.de/10013107807

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

On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes

Framstad, Nils Chr. - 2011 - Publisert 28. jun. 2011 09:08

This paper considers a sequence of discrete-time random walk markets with a single risky asset, and gives conditions for the existence of arbitrage opportunities or free lunches with vanishing risk, of the form of waiting to buy and selling the next period, with no shorting, and furthermore for...

Persistent link: https://www.econbiz.de/10009155859

Optimal dividends in the dual model under transaction costs

Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi - In: Insurance / Mathematics & economics 54 (2014), pp. 133-143

Persistent link: https://www.econbiz.de/10010259658

Optimal dividend policies with transaction costs for a class of jump-diffusion processes

Hunting, Martin; Paulsen, Jostein - In: Finance and stochastics 17 (2013) 1, pp. 73-106

Persistent link: https://www.econbiz.de/10009682290

A class of solvable stochastic dividend optimization problems : on the general impact of flexibility on valuation

Alvarez, Luis H. R.; Virtanen, Jukka - In: Economic theory : official journal of the Society for … 28 (2006) 2, pp. 373-398

Persistent link: https://www.econbiz.de/10003329929

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