论文标题
与比例交易成本的离散时间敏感投资组合优化
Discrete-time risk sensitive portfolio optimization with proportional transaction costs
论文作者
论文摘要
在本文中，我们考虑了长期以来的离散时间敏感投资组合优化，并成比例的交易成本。我们表明，在日志返回I.I.D.中框架在最小的假设下存在合适的钟手方程的解决方案，可用于表征规避风险和寻求风险案件的最佳策略。此外，使用数值示例，我们展示了如何使用Bellman方程分析在存在交易成本的情况下构建或完善最佳交易策略。
In this paper we consider a discrete-time risk sensitive portfolio optimization over a long time horizon with proportional transaction costs. We show that within the log-return i.i.d. framework the solution to a suitable Bellman equation exists under minimal assumptions and can be used to characterize the optimal strategies for both risk-averse and risk-seeking cases. Moreover, using numerical examples, we show how a Bellman equation analysis can be used to construct or refine optimal trading strategies in the presence of transaction costs.
