Portfolio Optimization In The Financial Market With Regime Switching Under Constraints Transaction Costs And Different Rates For Borrowing And Lending
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| Author | : Vladimir Dombrovskii |
| Publisher | : |
| Total Pages | : 8 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
In this work, we consider the optimal portfolio selection problem under hard constraints on trading amounts, transaction costs and different rates for borrowing and lending when the dynamics of the risky asset returns are governed by a discrete-time approximation of the Markov-modulated geometric Brownian motion. The states of Markov chain are interpreted as the states of an economy. The problem is stated as a dynamic tracking problem of a reference portfolio with desired return. Our approach is tested on a set of a real data from Russian Stock Exchange MICEX.
| Author | : Vladimir Dombrovskii |
| Publisher | : |
| Total Pages | : 8 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
In this work, we consider the optimal portfolio selection problem under hard constraints on trading amounts, transaction costs and different rates for borrowing and lending when the risky asset returns are serially correlated. No assumptions about the correlation structure between different time points or about the distribution of the asset returns are needed. The problem is stated as a dynamic tracking problem of a reference portfolio with desired return. Our approach is tested on a set of a real data from Russian Stock Exchange MICEX.
| Author | : Jaksa Cvitanic |
| Publisher | : |
| Total Pages | : |
| Release | : 1998 |
| Genre | : |
| ISBN | : |
This is a survey paper on techniques and results of the theory of optimal trading for a single agent with a nonlinear wealth process, in a continuous-time model. Examples include the case of policy dependent prices, portfolio constraints and different interest rates for borrowing and lending. We study the hedging (super-replication) of contingent claims, and the portfolio optimization problems for the investor in this market. The solution to the hedging problem produces the upper bound for those prices of the claim which are consistent with no-arbitrage. The portfolio optimization (utility maximization) problem is then characterized via a transformation to a hedging problem: the optimal portfolio is the one that hedges the inverse of the marginal utility evaluated at the optimal shadow state-price density solving a corresponding dual problem.
| Author | : Stephen Boyd |
| Publisher | : |
| Total Pages | : 92 |
| Release | : 2017-07-28 |
| Genre | : Mathematics |
| ISBN | : 9781680833287 |
This monograph collects in one place the basic definitions, 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.
| Author | : |
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| Total Pages | : |
| Release | : 2002 |
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| Author | : |
| Publisher | : |
| Total Pages | : 169 |
| Release | : 2015 |
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| Author | : Christoph Belak |
| Publisher | : |
| Total Pages | : |
| Release | : 2016 |
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| ISBN | : |
We study optimal asset allocation in a crash-threatened financial market with proportional transaction costs. The market is assumed to be in either a normal state, in which the risky asset follows a geometric Brownian motion, or in a crash state, in which the price of the risky asset can suddenly drop by a certain relative amount. We only assume the maximum number and the maximum relative size of the crashes to be given and do not make any assumptions about their distributions. For every investment strategy, we identify the worst-case scenario in the sense that the expected utility of terminal wealth is minimized. The objective is then to determine the investment strategy which yields the highest expected utility in its worst-case scenario.We solve the problem for utility functions with constant relative risk aversion using a stochastic control approach. We characterize the value function as the unique viscosity solution of a second-order nonlinear partial differential equation. The optimal strategies are characterized by time-dependent free boundaries which we compute numerically. The numerical examples suggest that it is not optimal to invest any wealth in the risky asset close to the investment horizon, while a long position in the risky asset is optimal if the remaining investment period is sufficiently large.
| Author | : Bernd Scherer |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 442 |
| Release | : 2005-05-03 |
| Genre | : Business & Economics |
| ISBN | : 9780387210162 |
Portfolio optimization and construction methodologies have become an critical ingredient of asset and fund management, while at same time portfolio risk assesment has become an essential ingredient in risk management.
| Author | : Renata Mansini |
| Publisher | : Springer |
| Total Pages | : 131 |
| Release | : 2015-06-10 |
| Genre | : Business & Economics |
| ISBN | : 3319184822 |
This book presents solutions to the general problem of single period portfolio optimization. It introduces different linear models, arising from different performance measures, and the mixed integer linear models resulting from the introduction of real features. Other linear models, such as models for portfolio rebalancing and index tracking, are also covered. The book discusses computational issues and provides a theoretical framework, including the concepts of risk-averse preferences, stochastic dominance and coherent risk measures. The material is presented in a style that requires no background in finance or in portfolio optimization; some experience in linear and mixed integer models, however, is required. The book is thoroughly didactic, supplementing the concepts with comments and illustrative examples.
| Author | : Roman Naryshkin |
| Publisher | : LAP Lambert Academic Publishing |
| Total Pages | : 172 |
| Release | : 2010-04 |
| Genre | : |
| ISBN | : 9783838353159 |
In traditional portfolio optimization/consumption literature individuals are assumed to be utility maximizing agents who make their investment and consumption decisions either by a rational application of mathematical and statistical principles or as if they were doing so. However, in recent years much evidence has been accumulating that individuals make decisions for different reasons. One approach that provides a better description of behavioral decision making aspects is to allow for consumption history dependent utility functions, so called "habit formation". This allows the resolution of several consumption-investment paradoxes including the "Equity Premium Puzzle" and the "Easterling Paradox" and can result in quantitative predictions of consumer behavior. However, another feature of financial markets, their transaction costs, suggests that even standard Merton consumption-investment agents will alter their decisions in many of the same ways as habit forming agents. The current book contains a thorough analysis of these two effects and provides a framework to enable their separation. The analysis should be useful to professionals in the field of Behavioral Finance.
