منابع مشابه
Dynamic Bargaining with Transaction Costs
A buyer and seller alternate making offers until an offer is accepted or someone terminates negotiations. The seller's valuation is common knowledge, but the buyer's valuation is known only by the buyer. Impatience to reach an agreement comes from two sources: the traders discount future payoffs and there are transaction costs of bargaining. Equilibrium behavior involves either immediate trade,...
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We develop a recurrent reinforcement learning (RRL) system that directly induces portfolio management policies from time series of asset prices and indicators, while accounting for transaction costs. The RRL approach learns a direct mapping from indicator series to portfolio weights, bypassing the need to explicitly model the time series of price returns. The resulting policies dynamically opti...
متن کاملChapter 2 Bargaining , Transaction Costs , and Coalition Governance
conferences in Vienna, Siena and Canterbury for helpful suggestions. The authors acknowledge the support of the Center for Advanced Study in the Behavioral Sciences (CASBS).
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A simple two stage bilateral bargaining game is analyzed. The players simultaneously demand shares of a unit size pie in the first stage. If the demands add up to more than one, both players, in the second stage, simultaneously choose whether to stick to their demand or accept the other’s offer. While both parties sticking to their offers leads to an impasse, accepting a lower share than the or...
متن کاملDynamic Mean-Variance Portfolio Selection with Transaction Costs
This paper investigates a mean-variance portfolio selection problem in continuous time with fixed and proportional transaction costs. Utilizing the dynamic programming, the Hamilton-Jacobi-Bellman (HJB) equation is derived, and the explicit closed form solution is obtained. Furthermore, the optimal strategies and efficient frontiers are also proposed for the original mean-variance problem. Nume...
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ژورنال
عنوان ژورنال: Management Science
سال: 1991
ISSN: 0025-1909,1526-5501
DOI: 10.1287/mnsc.37.10.1221