Liquidity Risks, Transaction costs and Online Portfolio Selection
نویسندگان
چکیده
منابع مشابه
Portfolio Selection with Transaction Costs
In this paper, optimal consumption and investment decisions are studied for an investor who has available a bank account paying a fixed rate of interested a stock whose price is a log-normal diffusion. This problem was solved by Merton and others when transactions between bank and stock are costless. Here we suppose that there are charges on all transactions equal to a fixed pwrcentage of the a...
متن کاملOnline Lazy Updates for Portfolio Selection with Transaction Costs
A major challenge for stochastic optimization is the cost of updating model parameters especially when the number of parameters is large. Updating parameters frequently can prove to be computationally or monetarily expensive. In this paper, we introduce an efficient primal-dual based online algorithm that performs lazy updates to the parameter vector and show that its performance is competitive...
متن کاملOptimal Portfolio Selection with Transaction Costs
This paper examines the lifetime portfolio-selection problem in the presence of transaction costs. Using a discrete time approach, we develop analytical expressions for the investor’s indirect utility function and also for the boundaries of the no-transactions region. The economy consists of a single risky asset and a riskless asset. Transactions in the risky asset incur proportional transactio...
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 کاملLiquidity Premia and Transaction Costs
Standard literature concludes that transaction costs only have a second-order effect on liquidity premia. We show that this conclusion depends crucially on the assumption of a constant investment opportunity set. In a regime-switching model in which the investment opportunity set varies over time, we explicitly characterize the optimal consumption and investment strategy. In contrast to the sta...
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: SSRN Electronic Journal
سال: 2019
ISSN: 1556-5068
DOI: 10.2139/ssrn.3378592