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Optimal No-Arbitrage Bounds on S&P 500 Index Options and the Volatility Smile

Patrick J. Dennis
2001 Journal of futures markets  
transaction costs.  ...  of transaction costs.  ...  This is because transaction costs consume most of the pro¯t. Typical initial positions are shown in compounded return of r per year.  ... 
doi:10.1002/fut.2203 fatcat:lctiz6wa2jdvhcorhjfjgksa64

Open innovation: A real option to restore value to the biopharmaceutical RD

Giovanna Lo Nigro, Azzurra Morreale, Gianluca Enea
2014 International Journal of Production Economics  
to implement, to evaluate the OI initiative for selecting an optimal R&D portfolio.  ...  The study wants to support managers in optimal R&D portfolio construction in terms of choosing the most promising products, the means by which the related project has to be undertaken (in an open or closed  ...  These two assumptions allow OL to use a binary variable for each drug, with only one subscript to model whether a drug is selected to be part of the optimal portfolio.  ... 
doi:10.1016/j.ijpe.2013.02.004 fatcat:uxw4drlfyrekfez65eguajvhby

Page 689 of Mathematical Reviews Vol. , Issue 2004a [page]

2004 Mathematical Reviews  
portfolio selection of assets with transaction costs and no short sales.  ...  The paper studies the classical Markowitz mean-variance portfolio optimization problem in a single-period market subject to propor- tional transaction costs, tax deductions, short sale and borrowing constraints  ... 

Hybridization of Machine Learning Techniques to Optimize Portfolio of Stock Market: Review of Literature from the Period 2005 to 2018

Keerti. Mahajan, Ulka Toro, R.V Kulkarni
2021 International journal of recent technology and engineering  
In finance there has always been the problem of how to combine investments to form a portfolio.  ...  But as stock market is uncertain and complicated the selection of good scripts are considered as one of the challenge in stock market field.  ...  the analysis of portfolio problem in a more realistic approach considering multiple objective instead of one, such as transaction cost, transaction lot and minimal transaction unit in an efficient manner  ... 
doi:10.35940/ijrte.e5107.019521 fatcat:5gjhq3dqefcjjf4j6lmarhbno4

Discretized reality and spurious profits in stochastic programming models for asset/liability management

Pieter Klaassen
1997 European Journal of Operational Research  
model with transaction costs.  ...  Furthermore, when the transaction cost rate is positive, the objective value can never improve in comparison with the model without transaction costs.  ... 
doi:10.1016/s0377-2217(96)00404-3 fatcat:cvlaknlkbrhhnam2xe4ppfnvia

Discretized Reality and Spurious Profits in Stochastic Programming Models for Asset/Liability Management

Pieter Klaassen
1997 Social Science Research Network  
of the asset-price uncertainty in these models in uences the optimal solution.  ...  We will show that this e ectively introduces arbitrage opportunities in the optimization model.  ...  model with transaction costs.  ... 
doi:10.2139/ssrn.33498 fatcat:c53y3ugmhnepnlnhouqyktdfzq

Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics

Michal Czerwonko, Stylianos Perrakis
2008 Social Science Research Network  
We derive the boundaries of the region of no transaction in a two-asset portfolio selection problem of an investor with isoelastic utility and with a finite horizon when the risky asset follows a mixed  ...  jump-diffusion process in the presence of proportional transaction costs.  ...  Introduction In this paper we extend the two-asset portfolio selection model under transaction costs for an investor with an isoelastic utility function and finite horizon to a jump-diffusion process for  ... 
doi:10.2139/ssrn.1290424 fatcat:u74kjmgmrnethlyddo3lhtyima

A portfolio-based evaluation of affine term structure models

Andrea Beltratti, Paolo Colla
2006 Annals of Operations Research  
Each quarter the optimizer selects the optimal portfolio, and the sequence of optimal portfolios is then evaluated in terms of financial properties.  ...  Starting from the conditional moments of the state vector implied by the models, we introduce binomial approximations to come up with discrete scenarios for the future state variables.  ...  The optimizer selects the optimal portfolio each quarter of our sample period.  ... 
doi:10.1007/s10479-006-0134-4 fatcat:4ob3tps3ureojkxhhf4yimq4qy

Competitive solutions for online financial problems

Ran El-Yaniv
1998 ACM Computing Surveys  
In particular, the survey focuses on search, replacement, and portfolio selection problems.  ...  The compounded return of a portfolio selection algorithm ALG with respect to a market sequence X is denoted by ALG(X) ϭ R(ALG, X).  ...  We focus on the following, more common, proportional transaction-cost model. 15 In this model we charge a fixed percentage ␥ of each amount transacted. We call ␥ the commission rate.  ... 
doi:10.1145/274440.274442 fatcat:qdturxrdhrd3tmoybf6jaszln4

Competitive solutions for on-line financial problems [chapter]

Ran El-Yaniv
1998 Lecture Notes in Computer Science  
In particular, the survey focuses on search, replacement, and portfolio selection problems.  ...  The compounded return of a portfolio selection algorithm ALG with respect to a market sequence X is denoted by ALG(X) ϭ R(ALG, X).  ...  We focus on the following, more common, proportional transaction-cost model. 15 In this model we charge a fixed percentage ␥ of each amount transacted. We call ␥ the commission rate.  ... 
doi:10.1007/bfb0029576 fatcat:5k7rjsypyrdzhkrfsxxdb2gai4

Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility

Ha-Young Kim, Frederi G. Viens
2010 Annals of Finance  
We study the relation between transaction cost rate and optimal trading frequency.  ...  This paper is devoted to evaluating the optimal self-financing strategy and the optimal trading frequency for a portfolio with a risky asset and a risk-free asset.  ...  compounded transaction rate.  ... 
doi:10.1007/s10436-010-0149-3 fatcat:jhpqedwt6ba4vmtstonfaak7sy

Martingales and Portfolio Decisions: A User's Guide

Heinz Zimmermann
2006 Financial Markets and Portfolio Management  
While Martingale pricing techniques have long been used with considerable success in the pricing of derivatives and financial assets in general, their potential to improve the practice of dynamic portfolio  ...  The article provides a practical guide to implement the basic features of the approach in a binomial framework.  ...  Implementing the model in incomplete markets, taking into account transaction costs or other frictions, complicates the practical implementation considerably.  ... 
doi:10.1007/s11408-006-0006-6 fatcat:bzt2wdlfr5dxpfinlh7le3hnqe

Earnings announcements and portfolio selection. Do they add value?

David N. Nawrocki, William L. Carter
1998 International Review of Financial Analysis  
Simple rules for optimal portfolio selection,  ...  The study conducts a comprehensive backtest of whether there is new investment information in earnings surprise data when used with a portfolio selection algorithm.  ...  The excess returns earned by these positive surprise stocks during this reaction period exceed the transaction costs to buy and sell them.  ... 
doi:10.1016/s1057-5219(99)80037-4 fatcat:iqaahbxn25bffh6qzcpsgqtbcq

The Performance of Alternative Interest Rate Risk Measures and Immunization Strategies under a Heath-Jarrow-Morton Framework

Senay Agca
2005 Journal of Financial and Quantitative Analysis  
The performance of immunization strategies depends more on the transaction costs and the holding period than on the risk measures.  ...  Using a Monte Carlo simulation, this study addresses the question of how traditional risk measures and immunization strategies perform when the term structure evolves in a Heath-Jarrow-Morton (1992) manner  ...  The immunization performance of bullet and barbell portfolios with transaction costs is reported in Panel A.  ... 
doi:10.1017/s0022109000001903 fatcat:bzcunetfxrab3flkonnkmwjbw4

Takeover Prediction Models and Portfolio Strategies: A Multinomial Approach

Ronan G. Powell
2004 Multinational Finance Journal  
Furthermore, when the models are tested in an investment portfolio setting, the results suggest that a strategy of predicting hostile targets only, beats a benchmark control portfolio of firms of a similar  ...  The multinomial models also have higher significance and explanatory power when compared to the binomial models.  ...  If the objective of the estimated model is to earn abnormal returns, then the optimal portfolio selection criterion should be to maximize the proportion of target firms in the selected portfolio rather  ... 
doi:10.17578/8-1/2-2 fatcat:aji45ktnnvfhfo5uhza3qns4uu
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