Portfolio revision under mean-variance and mean-CVaR with transaction costs
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- 作者：Andrew H. Chen (1) achen@mail.cox.smu.edu
Frank J. Fabozzi (2) frank.fabozzi@edhec.edu
Dashan Huang (3) dashanhuang@go.wustl.edu - 关键词：Portfolio revision – ; Transaction costs – ; Mean ; variance – ; Conditional value ; at ; risk (CVaR)
- 刊名：Review of Quantitative Finance and Accounting
- 出版年：2012
- 出版时间：November 2012
- 年：2012
- 卷：39
- 期：4
- 页码：509-526
- 全文大小：466.1 KB
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- ISSN：1573-7179
文摘
The portfolio revision process usually begins with a portfolio of assets rather than cash. As a result, some assets must be liquidated to permit investment in other assets, incurring transaction costs that should be directly integrated into the portfolio optimization problem. This paper discusses and analyzes the impact of transaction costs on the optimal portfolio under mean-variance and mean-conditional value-at-risk strategies. In addition, we present some analytical solutions and empirical evidence for some special situations to understand the impact of transaction costs on the portfolio revision process.