Discrete Time Portfolio Management With Transaction Costs
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Discrete-Time Portfolio Optimization with Transaction Costs
Author | : Feiran Tao |
Publisher | : |
Total Pages | : |
Release | : 2013 |
Genre | : |
ISBN | : |
This paper studies a fini ...
Discrete Portfolio Adjustment with Fixed Transaction Costs
Author | : Linus Wilson |
Publisher | : |
Total Pages | : 14 |
Release | : 2016 |
Genre | : |
ISBN | : |
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.
Markets with Transaction Costs
Author | : Yuri Kabanov |
Publisher | : Springer Science & Business Media |
Total Pages | : 306 |
Release | : 2009-12-04 |
Genre | : Business & Economics |
ISBN | : 3540681213 |
The book is the first monograph on this highly important subject.
Transactions Costs and Portfolio Choice in a Discrete-continuous Time Setting
Author | : Darrell Duffie |
Publisher | : |
Total Pages | : 20 |
Release | : 1986 |
Genre | : Transaction costs |
ISBN | : |
Optimal Portfolios
Author | : Ralf Korn |
Publisher | : World Scientific |
Total Pages | : 352 |
Release | : 1997 |
Genre | : Business & Economics |
ISBN | : 9812385347 |
The focus of the book is the construction of optimal investment strategies in a security market model where the prices follow diffusion processes. It begins by presenting the complete Black-Scholes type model and then moves on to incomplete models and models including constraints and transaction costs. The models and methods presented will include the stochastic control method of Merton, the martingale method of Cox-Huang and Karatzas et al., the log optimal method of Cover and Jamshidian, the value-preserving model of Hellwig etc.
Multi-Period Trading Via Convex Optimization
Author | : Stephen Boyd |
Publisher | : |
Total Pages | : 92 |
Release | : 2017-07-28 |
Genre | : Mathematics |
ISBN | : 9781680833287 |
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.