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首页> 外文期刊>Annals of Operations Research >Portfolio optimization with transaction costs: a two-period mean-variance model
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Portfolio optimization with transaction costs: a two-period mean-variance model

机译：具有交易成本的投资组合优化：两期均值方差模型

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In this paper, we study a multiperiod mean-variance portfolio optimization problem in the presence of proportional transaction costs. Many existing studies have shown that transaction costs can significantly affect investors' behavior. However, even under simple assumptions, closed-form solutions are not easy to obtain when transaction costs are considered. As a result, they are often ignored in multiperiod portfolio analysis, which leads to suboptimal solutions. To provide better insight for this complex problem, this paper studies a two-period problem that considers one risk-free and one risky asset. Whenever there is a trade after the initial asset allocation, the investor incurs a linear transaction cost. Through a mean-variance model, we derive the closed-form expressions of the optimal thresholds for investors to re-allocate their resources. These thresholds divide the action space into three regions. Some important properties of the analytical solution are identified, which shed light on solving multiperiod problems.
机译：在本文中，我们研究了存在比例交易成本的多周期均方差投资组合优化问题。现有的许多研究表明，交易成本会显着影响投资者的行为。但是，即使在简单的假设下，如果考虑交易成本，也不容易获得封闭式解决方案。结果，它们在多期投资组合分析中经常被忽略，从而导致次优的解决方案。为了更好地了解这个复杂的问题，本文研究了一个考虑了一种无风险和一种风险资产的两阶段问题。初始资产分配后，只要有交易，投资者就会产生线性交易成本。通过均值方差模型，我们得出了最佳阈值的封闭形式，供投资者重新分配其资源。这些阈值将动作空间分为三个区域。确定了分析解决方案的一些重要属性，为解决多周期问题提供了启示。

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