Arbeitspapier
A stochastic multi-stage trading cost model in optimal portfolio selection
We propose a multi-stage stochastic trading cost model in optimal portfolio selection. This strategy captures uncertainty in implicit transaction costs incurred by an investor during initial trading and in subsequent rebalancing of the portfolio. We assume that implicit costs are stochastic as are asset returns. We use mean absolute deviation as our risk and apply the model to securities on the Johannesburg Stock Market. The model generates optimal portfolios by minimizing total implicit transaction costs incurred. It provides least-cost optimal portfolios whose net wealths are better than those gener- ated by the mean-variance, minimax and mean absolute deviation models.
- Sprache
-
Englisch
- Erschienen in
-
Series: EERI Research Paper Series ; No. 23/2016
- Klassifikation
-
Wirtschaft
Organizational Behavior; Transaction Costs; Property Rights
Optimization Techniques; Programming Models; Dynamic Analysis
- Thema
-
implicit transaction costs
stochastic programming
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Mushori, Sabastine
Chikobvu, Delson
- Ereignis
-
Veröffentlichung
- (wer)
-
Economics and Econometrics Research Institute (EERI)
- (wo)
-
Brussels
- (wann)
-
2016
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Mushori, Sabastine
- Chikobvu, Delson
- Economics and Econometrics Research Institute (EERI)
Entstanden
- 2016
Ähnliche Objekte (12)
Cash management using multi-stage stochastic programming
Cash management using multi-stage stochastic programming
Measures of information in multi-stage stochastic programming(Bounds in Multistage Linear Stochastic Programming)
Approximation algorithms for 2-stage and multi-stage stochastic optimization
Scenario optimization for multi-stage stochastic programming problems
Cutting planes for multi-stage stochastic integer programs
Assessing policy quality in multi-stage stochastic programming
Optimal paths in multi-stage stochastic decision networks
Sampling based approximation algorithms for multi-stage stochastic optimization
Decomposition of a Multi-Stage Stochastic Programfor Power Dispatch
Dantzig-Wolfe decomposition for solving multi-stage stochastic capacity-planning problems
Multistage stochastic integer programs
Cash management using multi-stage stochastic programming
Cash management using multi-stage stochastic programming
Measures of information in multi-stage stochastic programming(Bounds in Multistage Linear Stochastic Programming)
Approximation algorithms for 2-stage and multi-stage stochastic optimization
Scenario optimization for multi-stage stochastic programming problems
Cutting planes for multi-stage stochastic integer programs
Assessing policy quality in multi-stage stochastic programming
Optimal paths in multi-stage stochastic decision networks
Sampling based approximation algorithms for multi-stage stochastic optimization
Decomposition of a Multi-Stage Stochastic Programfor Power Dispatch
Dantzig-Wolfe decomposition for solving multi-stage stochastic capacity-planning problems
Multistage stochastic integer programs
Cash management using multi-stage stochastic programming
Cash management using multi-stage stochastic programming
Measures of information in multi-stage stochastic programming(Bounds in Multistage Linear Stochastic Programming)
Approximation algorithms for 2-stage and multi-stage stochastic optimization
Scenario optimization for multi-stage stochastic programming problems
Cutting planes for multi-stage stochastic integer programs
Assessing policy quality in multi-stage stochastic programming
Optimal paths in multi-stage stochastic decision networks
Sampling based approximation algorithms for multi-stage stochastic optimization
Decomposition of a Multi-Stage Stochastic Programfor Power Dispatch
Dantzig-Wolfe decomposition for solving multi-stage stochastic capacity-planning problems