Robust multiperiod portfolio management in the presence of transaction costs
نویسندگان
چکیده
منابع مشابه
Robust multiperiod portfolio management in the presence of transaction costs
We study the viability of different robust optimization approaches to multiperiod portfolio selection. Robust optimization models treat future asset returns as uncertain coefficients in an optimization problem, and map the level of risk aversion of the investor to the level of tolerance of the total error in asset return forecasts.We suggest robust optimization formulations of the multiperiod p...
متن کاملMultiperiod Portfolio Selection with Different Rates for Borrowing and Lending in Presence of Transaction Costs
Portfolio management is one of the most important areas of research in financial engineering. This paper is concerned with multi period decision problem for financial asset allocation when the rate of borrowing is greater than the rate of lending. Transaction costs as a source of concern for portfolio managers is also considered in this paper. The proposed method of this paper is formulated in ...
متن کاملRebalancing an Investment Portfolio in the Presence of Transaction Costs
The inclusion of transaction costs is an essential element of any realistic portfolio optimization. In this paper, we consider an extension of the standard portfolio problem in which transaction costs are incurred to rebalance an investment portfolio. The Markowitz framework of mean-variance efficiency is used with costs modelled as a percentage of the value transacted. Each security in the por...
متن کاملDynamic portfolio management with transaction costs
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 کاملRebalancing an Investment Portfolio in the Presence of Convex Transaction Costs and Market Impact Costs
The inclusion of transaction costs is an essential element of any realistic portfolio optimization. In this paper, we extend the standard portfolio problem to consider convex transaction costs that are incurred to rebalance an investment portfolio. Market impact costs measure the effect on the price of a security that result from an effort to buy or sell the security, and they can constitute a ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Computers & Operations Research
سال: 2008
ISSN: 0305-0548
DOI: 10.1016/j.cor.2006.02.011