Universal trading under proportional transaction costs
The theory of optimal trading under proportional transaction costs has been considered from a variety of perspectives. In this paper, we show that all the results can be interpreted using a universal law, illustrating the results in trading algorithm design.
Code (0)
등록된 구현이 없습니다.
Similar Papers 제목 키워드 기반
Comparative Statics of Trading Boundary in Finite Horizon Portfolio Selection with Proportional Transaction Costs
We consider the Merton's problem with proportional transaction costs. It is well-known that the optimal investment strategy is characterized by two trading boundaries, i.e., the buy boundary and the sell boundary, betwee…
A singular stochastic control approach for optimal pairs trading with proportional transaction costs
Optimal trading strategies for pairs trading have been studied by models that try to find either optimal shares of stocks by assuming no transaction costs or optimal timing of trading fixed numbers of shares of stocks wi…
Portfolio OptimizationThe impact of proportional transaction costs on systematically generated portfolios
The effect of proportional transaction costs on systematically generated portfolios is studied empirically. The performance of several portfolios (the index tracking portfolio, the equally-weighted portfolio, the entropy…
DiversityDiscrete-time risk sensitive portfolio optimization with proportional transaction costs
In this paper we consider a discrete-time risk sensitive portfolio optimization over a long time horizon with proportional transaction costs. We show that within the log-return i.i.d. framework the solution to a suitable…
Portfolio OptimizationOptimal investment and contingent claim valuation with exponential disutility under proportional transaction costs
We consider indifference pricing of contingent claims consisting of payment flows in a discrete time model with proportional transaction costs and under exponential disutility. This setting covers utility maximisation as…