Optimal Index Tracking Under Transaction Costs and Impulse Control

Autor:	Ralf Korn, I. R. C. Buckley
Rok vydání:	1998
Předmět:	Transaction cost Mathematical optimization Actuarial science Index (economics) media_common.quotation_subject Impulse control Tracking error Cash Economics Portfolio Project portfolio management Cash management General Economics Econometrics and Finance Finance media_common
Zdroj:	International Journal of Theoretical and Applied Finance. :315-330
ISSN:	1793-6322 0219-0249
DOI:	10.1142/s0219024998000187
Popis:	We apply impulse control techniques to a cash management problem within a mean-variance framework. We consider the strategy of an investor who is trying to minimise both fixed and proportional transaction costs, whilst minimising the tracking error with respect to an index portfolio. The cash weight is constantly fluctuating due to the stochastic inflow and outflow of dividends and liabilities. We show the existence of an optimal strategy and compute it numerically.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::e6839ddc695a5a1a7b3dd6f3c24310b2 https://doi.org/10.1142/s0219024998000187 Zobrazit plný text záznamu