Multiperiod portfolio selection and Bayesian dynamic models

Techniques inspired by Bayesian statistics provide a solution to the classic investment problem of optimally planning a sequence of trades in the presence of transaction costs, according to Petter Kolm and Gordon Ritter

academic-optimising-allocation

CLICK HERE TO VIEW THE ARTICLE IN FULL

Planning a sequence of trades extending into the future is a very common problem in finance. All trading is costly, and the need for intertemporal optimisation is more acute when trading costs are considered. The total cost due to market impact is known to be superlinear as a function of the trade size (Almgren et al (2005) measured an exponent of about 0:6 for impact itself, hence 1:6 for total cost), implying a large order may be more efficiently executed

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Most read articles loading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here