Incorporating Transaction Costs in Credit Portfolio Optimization: Implementation and Practical Considerations

Journal of Fixed Income Pub Date : 2023-10-09 DOI:10.3905/jfi.2023.1.171

Arik Ben Dor, Jingling Guan

引用次数: 0

Abstract

We illustrate why constraining turnover as a mechanism for controlling t-costs in the implementation of systematic strategies is suboptimal. We examine two alternative approaches to incorporating t-costs into the optimization process and find that they could improve strategies’ net performance.

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将交易成本纳入信贷组合优化:实施与实践考虑

我们说明了为什么在实施系统性战略时，限制离职作为控制t-成本的机制是次优的。我们研究了将t成本纳入优化过程的两种替代方法，并发现它们可以提高策略的净绩效。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Fixed Income Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.10

自引率

0.00%

发文量

期刊介绍： The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.