Creating Synthetic Option Strategies for Asset Allocation with Transaction Costs Using Multi-Period Stochastic Programming

Yonggan Zhao; William T. Ziemba

edoc-Server der Humboldt-Universität zu Berlin

SPEPS Preprint

Author(s):	Yonggan Zhao, University of British Columbia William T. Ziemba, University of British Columbia
Title:	Creating Synthetic Option Strategies for Asset Allocation with Transaction Costs Using Multi-Period Stochastic Programming
Date of Acceptance:	20.09.1999
Submission Date:	09.09.1999
Series Title:	Stochastic Programming E-Print Series (SPEPS)
Editors:	Julie L. Higle; Werner Römisch; Surrajeet Sen
Complete Preprint:	pdf (urn:nbn:de:kobv:11-10057235) ps (urn:nbn:de:kobv:11-10057244)
Metadata export: To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.	Endnote Bibtex
print on demand: If you click on this icon you can order a print copy of this publication.
Diese Seite taggen: These icons lead to social bookmarking systems where you can create and manage personal bookmarks and discover bookmakrs of other users.

Abstract (eng):

We discuss a new approach to asset allocation with transaction costs. A multi-period stochastic linear programming model is developed where the risk is based on the worst case payoff which is endogenously determined by the model. Utilizing portfolio protection and dynamic hedging, an investment strategy similar to that of a "multiple asset option" on the initial investment portfolio is characterized. The relative changes in the expected terminal wealth, planning target and risk aversion are studied theoretically and illustrated by a numerical example. This model dominates a static mean-variance model when the optimal portfolio is measured by the Sharpe ratio.

Access Statistics:

These data concerning access statistics for individual documents have been compiled using the webserver log files aggregated by AWSTATS. They refer to a monthly access count to the full text documents as well as to the entry page.

As for format versions of a document which consist of multiple files (such as HTML) the highest monthly access number to one of the files (chapters) is shown respectivly.

To see the detailled access numbers please move the mouse pointer over the single bars of the digaram.

Jun
11

Jul
11

Sep
11

Oct
11

Nov
11

Dec
11

Feb
12

Apr
12

May
12

Jun
12

Jul
12

Aug
12

Sep
12

Oct
12

Nov
12

Dec
12

Jan
13

Feb
13

Mar
13

Apr
13

May
13

Monat	Jun 11	Jul 11	Sep 11	Oct 11	Nov 11	Dec 11	Feb 12	Apr 12	May 12	Jun 12	Jul 12	Aug 12	Sep 12	Nov 12	Dec 12	Jan 13	Feb 13	Mar 13	Apr 13	May 13
Startseite	1	3	1	2	1	1	4	3	1	1		1	4							2
PDF		1	1	12		1	1	1	12	4	1	1	2	4	2	9	6	6	5	15

Gesamtzahl der Zugriffe seit Jun 2011:

Startseite – 25 (1.19 pro Monat)
PDF – 84 (4.2 pro Monat)

Generated at 19.06.2013, 14:53:35

edoc-Server der Humboldt-Universität zu Berlin • Impressum • edoc@cms.hu-berlin.de • Nutzungsbedingungen • Haftungsausschluss • Statistik