Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/179401
Autoren: 
Mushori, Sabastine
Chikobvu, Delson
Datum: 
2016
Reihe/Nr.: 
EERI Research Paper Series 23/2016
Zusammenfassung: 
We propose a multi-stage stochastic trading cost model in optimal portfolio selection. This strategy captures uncertainty in implicit transaction costs incurred by an investor during initial trading and in subsequent rebalancing of the portfolio. We assume that implicit costs are stochastic as are asset returns. We use mean absolute deviation as our risk and apply the model to securities on the Johannesburg Stock Market. The model generates optimal portfolios by minimizing total implicit transaction costs incurred. It provides least-cost optimal portfolios whose net wealths are better than those gener- ated by the mean-variance, minimax and mean absolute deviation models.
Schlagwörter: 
implicit transaction costs
stochastic programming
JEL: 
D23
C61
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
244.69 kB





Publikationen in EconStor sind urheberrechtlich geschützt.