Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/159367
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dc.contributor.authorPun, Chi Sengen_US
dc.contributor.authorYe, Zien_US
dc.date.accessioned2022-06-16T05:04:38Z-
dc.date.available2022-06-16T05:04:38Z-
dc.date.issued2022-
dc.identifier.citationPun, C. S. & Ye, Z. (2022). Optimal dynamic mean–variance portfolio subject to proportional transaction costs and no-shorting constraint. Automatica, 135, 109986-. https://dx.doi.org/10.1016/j.automatica.2021.109986en_US
dc.identifier.issn0005-1098en_US
dc.identifier.urihttps://hdl.handle.net/10356/159367-
dc.description.abstractThis paper studies mean–variance portfolio selection problem subject to proportional transaction costs and no-shorting constraint. We do not impose any distributional assumptions on the asset returns. By adopting dynamic programming, duality theory, and a comparison approach, we manage to derive a semi-closed form solution of the optimal dynamic investment policy with the boundaries of buying, no-transaction, selling, and liquidation regions. Numerically, we illustrate the properties of the optimal policy by depicting the corresponding efficient frontiers under different rates of transaction costs and initial wealth allocations. We find that the efficient frontier is distorted due to the transaction cost incurred. We also examine how the width of the no-transaction region varies with different transaction cost rates. Empirically, we show that our transaction-cost-aware policy outperforms the transaction-cost-unaware policy in a realistic trading environment that incurs transaction costs.en_US
dc.description.sponsorshipMinistry of Education (MOE)en_US
dc.language.isoenen_US
dc.relationMOE2017-T2-1-044en_US
dc.relation.ispartofAutomaticaen_US
dc.rights© 2021 Elsevier Ltd. All rights reserved.en_US
dc.subjectScience::Mathematicsen_US
dc.titleOptimal dynamic mean–variance portfolio subject to proportional transaction costs and no-shorting constrainten_US
dc.typeJournal Articleen
dc.contributor.schoolSchool of Physical and Mathematical Sciencesen_US
dc.identifier.doi10.1016/j.automatica.2021.109986-
dc.identifier.scopus2-s2.0-85118259762-
dc.identifier.volume135en_US
dc.identifier.spage109986en_US
dc.subject.keywordsPortfolio Selectionen_US
dc.subject.keywordsProportional Transaction Costsen_US
dc.description.acknowledgementChi Seng Pun gratefully acknowledges Ministry of Education (MOE), AcRF Tier 2 grant (Reference No: MOE2017-T2-1-044) for the funding of this research.en_US
item.grantfulltextnone-
item.fulltextNo Fulltext-
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