دانلود مقاله ISI انگلیسی شماره 41950
عنوان فارسی مقاله

سرمایه گذاری بهینه رشد در بازارهای با گسستگی زمانی با هزینه های معاملات متناسب

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
41950 2016 13 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Growth optimal investment in discrete-time markets with proportional transaction costs
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Digital Signal Processing, Volume 48, January 2016, Pages 226–238

کلمات کلیدی
رشد بهینه پرتفوی - ایجاد توازن آستانه - هزینه معامله متناسب - بازار سهام با گسستگی زمانی
پیش نمایش مقاله
پیش نمایش مقاله سرمایه گذاری بهینه رشد در بازارهای با گسستگی زمانی با هزینه های معاملات متناسب

چکیده انگلیسی

We investigate how and when to diversify capital over assets, i.e., the portfolio selection problem, from a signal processing perspective. To this end, we first construct portfolios that achieve the optimal expected growth in i.i.d. discrete-time two-asset markets under proportional transaction costs. We then extend our analysis to cover markets having more than two stocks. The market is modeled by a sequence of price relative vectors with arbitrary discrete distributions, which can also be used to approximate a wide class of continuous distributions. To achieve the optimal growth, we use threshold portfolios, where we introduce a recursive update to calculate the expected wealth. We then demonstrate that under the threshold rebalancing framework, the achievable set of portfolios elegantly form an irreducible Markov chain under mild technical conditions. We evaluate the corresponding stationary distribution of this Markov chain, which provides a natural and efficient method to calculate the cumulative expected wealth. Subsequently, the corresponding parameters are optimized yielding the growth optimal portfolio under proportional transaction costs in i.i.d. discrete-time two-asset markets. As a widely known financial problem, we also solve the optimal portfolio selection problem in discrete-time markets constructed by sampling continuous-time Brownian markets. For the case that the underlying discrete distributions of the price relative vectors are unknown, we provide a maximum likelihood estimator that is also incorporated in the optimization framework in our simulations.

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