Blar i Working papers (FIN) på emneord "transaction costs"

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    • Dynamic portfolio optimization with transaction costs and state-dependent drift 

      Palczewski, Jan; Poulsen, Rolf; Schenk-Hoppé, Klaus Reiner; Wang, Huamao (Working paper;2014:1, Working paper, 2014)
      We present an efficient numerical method to determine optimal portfolio strategies under time- and state-dependent drift and proportional transaction costs. This scenario arises when investors have behavioral biases or ...

    • Hedging without sweat : a genetic programming approach 

      Lensberg, Terje; Schenk-Hoppé, Klaus Reiner (Working paper;2013:5, Working paper, 2013)
      Hedging in the presence of transaction costs leads to complex op- timization problems. These problems typically lack closed-form so- lutions, and their implementation relies on numerical methods that provide hedging ...