交易成本的渐近方法

IF 2 Q2 BUSINESS, FINANCE

Risks Pub Date : 2024-04-04 DOI:10.3390/risks12040064

Eberhard Mayerhofer

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引用次数: 0

摘要

我们提出了一种通用近似方法，用于确定具有比例交易成本的市场中的最优交易策略，并对剩余价值函数进行多项式近似。该方法以几个问题为例，从最佳跟踪基准和对冲对数合约到终端财富效用最大化。我们还通过实际可执行的离散交易来逼近策略。我们确定了交易频率和交易规模之间的必要权衡，以确保与理论上最优的无限活动连续策略达成令人满意的一致。

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Asymptotic Methods for Transaction Costs

We propose a general approximation method for the determination of optimal trading strategies in markets with proportional transaction costs, with a polynomial approximation of the residual value function. The method is exemplified by several problems, from optimally tracking benchmarks and hedging the log contract to maximizing utility from terminal wealth. Strategies are also approximated by practically executable, discrete trades. We identify the necessary trade-off between the trading frequency and trade size to ensure satisfactory agreement with the theoretically optimal, continuous strategies of infinite activity.

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