Portfolio management with transaction costs

被引:22
作者
Atkinson, C
Pliska, SR
Wilmott, P
机构
[1] UNIV ILLINOIS, COLL BUSINESS ADM, CHICAGO, IL 60607 USA
[2] MATH INST, OXFORD OX1 3LB, ENGLAND
来源
PROCEEDINGS OF THE ROYAL SOCIETY A-MATHEMATICAL PHYSICAL AND ENGINEERING SCIENCES | 1997年 / 453卷 / 1958期
关键词
D O I
10.1098/rspa.1997.0030
中图分类号
O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];
学科分类号
07 ; 0710 ; 09 ;
摘要
It is known that the optimal trading strategy for a certain portfolio problem featuring fixed transaction costs is obtained from the solution of a free boundary problem. The latter can only be solved with numerical methods, and computations become formidable when the number of available securities is larger than three or four. This paper shows how a transformation of the free boundary problem together with an asymptotic analysis (performed about the solution when the transaction cost is zero) leads to solutions which are shown to be good approximations for cases which can be solved by numerical methods. These approximately optimal trading strategies are easy to compute, even when there are many risky securities, as is illustrated for the case of the 30 Dow Jones Industrials.
引用
收藏
页码:551 / 562
页数:12
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