Transaction costs and efficiency of portfolio strategies
Article Abstract:
Efficient and inefficient portfolio strategies have been compared using the Cox-Ross-Rubinstein (1979) binomial tree model. The payoff distribution pricing model for the binomial asset pricing mode described by Dybvig (1988) is outlined. Simple trading strategies such as stop-loss and lock-in prove to have a better return distribution compared to complex strategies even with a 0.5% level of transaction costs. Use of options also proves to considerably reduce the initial costs of both efficient and inefficient strategies.
Publication Name: European Journal of Operational Research
Subject: Business, international
ISSN: 0377-2217
Year: 1996
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Accomodating diverse institutional investment objectives and constraints using non-linear goal programming
Article Abstract:
Lexicographic programming model solves investment managers' problem of allocating resources based on financial objectives. The approach ranks goals according to priorities and solutions to satisfy goals are imposed by goal constraints such as asset risk and rate of return. Sensitivity analysis is performed to examine the effect of risk aversion parameters on optimal investment solutions based on the relative weights assigned to each priority level.
Publication Name: European Journal of Operational Research
Subject: Business, international
ISSN: 0377-2217
Year: 1998
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Alternative growth versus security in continuous dynamic trading
Article Abstract:
Three alternative measures of the growth and security tradeoff of a portfolio of continuous-trading investments were developed. The measures were obtained by modifying the optimality criteria in the stopping rule profile and the wealth profile by considering a finite period of investment and the financial agent's target-seeking behavior. In addition, the Kelly strategy for making portfolio decisions was debunked.
Publication Name: European Journal of Operational Research
Subject: Business, international
ISSN: 0377-2217
Year: 1995
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