Optimal rebalancing of portfolios with transaction costs

被引：8

作者：

Holden, Helge ^{[1
,2
]}

Holden, Lars ^{[3
]}

机构：

[1] Norwegian Univ Sci & Technol, Dept Math Sci, NO-7491 Trondheim, Norway

[2] Univ Oslo, Ctr Math Applicat, NO-0316 Oslo, Norway

[3] Norwegian Comp Ctr, NO-0314 Oslo, Norway

来源：

STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES | 2013年 / 85卷 / 03期

关键词：

rebalance portfolio; portfolio optimization; transaction costs; no-trade region; utility function; CONSUMPTION; OPTIMIZATION; SELECTION; MODEL;

D O I：

10.1080/17442508.2011.651219

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Rebalancing of portfolios with a concave utility function is considered. It is proved that transaction costs imply that there is a no-trade region where it is optimal not to trade. For proportional transaction costs, it is optimal to rebalance to the boundary when outside the no-trade region. With flat transaction costs, the rebalance from outside the no-trade region should be to an internal state in the no-trade region but never a full rebalance. The standard optimal portfolio theory is extended to an arbitrary number of equally treated assets, general utility function and more general stochastic processes. Examples are discussed.

引用

页码：371 / 394

页数：24

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