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Optimal No-Arbitrage Bounds on S&P 500 Index Options and the Volatility Smile
2001
Journal of futures markets
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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
2014
International Journal of Production Economics
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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
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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
2021
International journal of recent technology and engineering
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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
1997
European Journal of Operational Research
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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
1997
Social Science Research Network
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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
2008
Social Science Research Network
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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
2006
Annals of Operations Research
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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
1998
ACM Computing Surveys
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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]
1998
Lecture Notes in Computer Science
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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
2010
Annals of Finance
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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
2006
Financial Markets and Portfolio Management
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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?
1998
International Review of Financial Analysis
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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
2005
Journal of Financial and Quantitative Analysis
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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
2004
Multinational Finance Journal
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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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