Optimal trading with transaction costs and short-term predictability

被引：0

作者：

Murthy, Shashidhar ^{[1
]}

Wald, John K. ^{[2
]}

机构：

[1] Indian Inst Management Bangalore, Finance & Accounting, Bangalore, India

[2] Univ Texas San Antonio, Alvarez Coll Business, Dept Finance, San Antonio, TX 78249 USA

来源：

QUANTITATIVE FINANCE | 2023年 / 23卷 / 7-8期

关键词：

Dynamic trading strategies; Predictability; Transaction costs; RETURNS;

D O I：

10.1080/14697688.2023.2222158

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We consider the problem of optimal dynamic trading in the presence of predictable returns and proportional transaction costs for an investor choosing among multiple assets. The value of each security equals the expected value of holding the asset plus the value of all options to trade. We provide exact trading rules for N-assets that follow an MA(1) process. Simulations demonstrate the impact of transaction costs, volatility, and predictability on optimal trading behavior. The optimal trading rule can substantially increase performance if transaction costs vary among assets.

引用

页码：1115 / 1127

页数：13

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