2015（其他）Dynamic Portfolio Optimisation with Intermediate Costs A Least-Squares Monte-Carlo Simulation Approach

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1、DynamicPortfolioOptimisationwithIntermediateCosts:ALeast-SquaresMonte-CarloSimulationApproachRongjuZhangMonashUniversitySchoolofMathematicalSciencesrongju.zhang@monash.eduNicolasLangrenéTheCommonweathScientificandIndustrialResearchOrganisationRealOptionsandFinancialRisknicolas.lan

2、grene@csiro.auYuTianNationalAustralianBankPricingandRiskAnalysis,RetirementSolutions,NABWealthyu.tian@nab.com.auZiliZhuTheCommonwealthScientificandIndustrialResearchOrganisationRealOptionsandFinancialRiskzili.zhu@csiro.auFimaKlebanerMonashUniversitySchoolofMathematicalSciencesfima.

3、klebaner@monash.eduKaisHamzaMonashUniversitySchoolofMathematicalScienceskais.hamza@monash.edu1Electroniccopyavailableat:http://ssrn.com/abstract=2696968AbstractWeproposeadynamicportfoliooptimisationstrategythattakesliquiditycostintoaccount.Ourliquiditycostmodelisbuiltupontheso-cal

4、ledMarginalSupply-DemandCurvewhichdescribestheassetpriceasafunctionofthetradingvolume.Weextendtheleast-squaresMonteCarloalgorithmtoastochasticcontrolproblemwithswitchingcostsandendogenousstatevariables.Thisapproachissimulation-based,withgreatflexibilityinthechoiceofinvestorobjectiv

5、e,assetdynamics,portfolioconstraints,intermediateconsumptionandincorporationofdifferentsourcesofcosts,makingiteasytoimplementinpractice.WestudyaportfolioinvestinginfourmajorsectorsintheU.S.market.Webenchmarkourdynamicstrategyagainstseveralalternativeportfoliostrategiesintermsoftheo

6、ut-of-sampledistributionofterminalwealthandtherealmarketperformance.Overall,ourdynamicstrategyoutperformsotherstandardassetallocationstrategies.Keywords:portfolioselection;liquiditycost;marginalsupply-demandcurve;least-squaresMonteCarlo;stochasticdynamicprogramming;stochasticcontr

7、ol.2Electroniccopyavailableat:http://ssrn.com/abstract=26969681IntroductionDynamicportfoliooptimisationiscommonlyusedbyfinancialinstitutions,suchasinvestmentbanks,pensionfunds,hedgefundsandotherassetmanagementcompanies.Theportfoliooptimisationpro-cedurebasicallydealswiththeproblemo

8、ffindinganassetallocationstrategyt