具有比例交易成本的离散时间风险敏感投资组合优化

IF 1.6 3区经济学 Q3 BUSINESS, FINANCE

Mathematical Finance Pub Date : 2023-06-06 DOI:10.1111/mafi.12406

Marcin Pitera, Łukasz Stettner

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引用次数: 3

摘要

在本文中，我们考虑了具有比例交易成本的长时间范围内的离散时间风险敏感投资组合优化。我们表明，在对数收益i.i.d.框架内，合适的Bellman方程的解存在于最小假设下，可用于描述规避风险和寻求风险情况下的最优策略。此外，通过数值例子，我们展示了在存在交易成本的情况下，如何使用Bellman方程分析来构建或完善最优交易策略。

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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Discrete-time risk sensitive portfolio optimization with proportional transaction costs

In this paper we consider a discrete-time risk sensitive portfolio optimization over a long time horizon with proportional transaction costs. We show that within the log-return i.i.d. framework the solution to a suitable Bellman equation exists under minimal assumptions and can be used to characterize the optimal strategies for both risk-averse and risk-seeking cases. Moreover, using numerical examples, we show how a Bellman equation analysis can be used to construct or refine optimal trading strategies in the presence of transaction costs.

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来源期刊

Mathematical Finance 数学-数学跨学科应用

CiteScore

4.10

自引率

6.20%

发文量

审稿时长

>12 weeks

期刊介绍： Mathematical Finance seeks to publish original research articles focused on the development and application of novel mathematical and statistical methods for the analysis of financial problems. The journal welcomes contributions on new statistical methods for the analysis of financial problems. Empirical results will be appropriate to the extent that they illustrate a statistical technique, validate a model or provide insight into a financial problem. Papers whose main contribution rests on empirical results derived with standard approaches will not be considered.