Asymptotic methods for transaction costs
Fuente:
arXiv
Enregistré dans:
| Auteur principal: | |
|---|---|
| Format: | Preprint |
| Publié: |
2024
|
| Sujets: | |
| Accès en ligne: | |
| Tags: |
Ajouter un tag
Pas de tags, Soyez le premier à ajouter un tag!
|
| _version_ | 1866909249439793152 |
|---|---|
| author | Mayerhofer, Eberhard |
| author_facet | Mayerhofer, Eberhard |
| contents | We propose a general approximation method for determining optimal trading strategies in markets with proportional transaction costs, with a polynomial approximation of the residual value function. The method is exemplified by several problems from optimally tracking benchmarks, hedging the Log contract, to maximizing utility from terminal wealth. Strategies are also approximated by practically executable, discrete trades. We identify the necessary trade-off between trading frequency and trade sizes to have satisfactory agreement with the theoretically optimal, continuous strategies of infinite activity. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2407_07100 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Asymptotic methods for transaction costs Mayerhofer, Eberhard Portfolio Management Probability 91G10, 91G80 We propose a general approximation method for determining optimal trading strategies in markets with proportional transaction costs, with a polynomial approximation of the residual value function. The method is exemplified by several problems from optimally tracking benchmarks, hedging the Log contract, to maximizing utility from terminal wealth. Strategies are also approximated by practically executable, discrete trades. We identify the necessary trade-off between trading frequency and trade sizes to have satisfactory agreement with the theoretically optimal, continuous strategies of infinite activity. |
| title | Asymptotic methods for transaction costs |
| topic | Portfolio Management Probability 91G10, 91G80 |
| url | https://arxiv.org/abs/2407.07100 |