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Dynamic Asset Allocation with Stochastic Interest Rates and Transaction Costs

Leirvik, Thomas - 2011

We investigate the optimal investment problem when the interest rate is stochastic and the investor must pay proportional transaction costs when buying and selling the risky assets. We first consider a portfolio of bonds and transaction costs.We then add a stock to the portfolio, and analyze the...

Persistent link: https://www.econbiz.de/10013128446

Performance Measurement for Option Portfolios in a Stochastic Volatility Framework

Baule, Rainer - 2019

Measuring the performance of stock portfolios that include options is challenging due to options' nonlinearity in the underlying, their exposure to volatility risk, and their time decay. Our contribution to the literature is twofold: First, we provide a theoretically rigorous derivation of the...

Persistent link: https://www.econbiz.de/10012900121

GJR-Copula-CVaR Model for Portfolio Optimization : Evidence for Emerging Stock Markets

Nikusokhan, Moien - 2018

This paper empirically examines the impact of dependence structure between the assets on the portfolio optimization, composed of Tehran Stock Exchange Price Index and Borsa Istanbul 100 Index. In this regard, the method of the Copula family functions is proposed as powerful and flexible tool to...

Persistent link: https://www.econbiz.de/10012909312

Mean-variance hedging via stochastic control and BSDEs for general semimartingales

Jeanblanc, Monique; Mania, Michael; Santacroce, Marina; … - 2012 - This version: 4.6.2012

We solve the problem of mean-variance hedging for general semimartingale models via stochastic control methods. After proving that the value process of the associated stochastic control problem has a quadratic structure, we characterise its three coefficient processes as solutions of...

Persistent link: https://www.econbiz.de/10009558490

Dynamic mean-variance optimisation problems with deterministic information

Schweizer, Martin; Zivoi, Danijel; Ṥikić, Mario - 2017 - This version: September 29, 2017

We solve the problems of mean-variance hedging (MVH) and mean-variance portfolio selection (MVPS) under restricted information. We work in a setting where the underlying price process S is a semimartingale, but not adapted to the filtration G which models the information available for...

Persistent link: https://www.econbiz.de/10011865489

Demystifying Rebalancing Premium : A Methodological Path to Risk Premia Engineering

Dubikovsky, Vladislav - 2015

Volatility is usually considered as a synonym for risk. Mainstream financial theory states that higher portfolio … framework that encompasses various investment styles and portfolio construction methodologies. Modern Portfolio Theory is a one … theory. We show that Markowitz portfolios and Warren Buffett's investment style are valid special cases of optimal growth …

Persistent link: https://www.econbiz.de/10013018815

Portfolio Construction When Regimes are Ambiguous

Kritzman, Mark; Kulasekaran, Cel; Turkington, David - 2023

Investors sometimes have strong convictions that a distinctive economic regime will prevail in the period ahead and therefore would like to form a portfolio that reflects the expected returns, standard deviations, and correlations of assets during such a regime. To do so, they typically isolate...

Persistent link: https://www.econbiz.de/10014348956

Using MOEAs to Outperform Stock Benchmarks in the Presence of Typical Investment Constraints

Clark, Andrew E. - 2012

Portfolio managers are typically constrained by turnover limits, minimum and maximum stock positions, cardinality, a target market capitalization and sometimes the need to hew to a style (such as growth or value). In addition, portfolio managers often use multifactor stock models to choose...

Persistent link: https://www.econbiz.de/10013114385

A stochastic model and algorithms for determining efficient time-cost tradeoffs for a project activity

Godinho, Pedro; Costa, João Paulo - In: Operational research : an international journal 20 (2020) 1, pp. 319-348

Persistent link: https://www.econbiz.de/10012172874

Dynamic Tracking Error with Shortfall Control Using Stochastic Programming

Barro, Diana; Canestrelli, Elio - 2012

In this contribution we propose a dynamic tracking error problem and we consider the problem of monitoring at discrete point the shortfall of the portfolio below a set of given reference levels of wealth. We formulate and solve the resulting dynamic optimization problem using stochastic...

Persistent link: https://www.econbiz.de/10014040374