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摘要翻译：
我们考虑了布朗市场模型和终端财富的期望效用最大化问题。具体来说，我们研究了在存在交易费用的情况下，基金/代理人在期货市场上投资的最终财富效用最大化问题。本文对统计套利策略作了一些初步的评述，建立了期货市场的框架，并引入了保证金、齿轮传动和滑差等概念。该设定为离散时间，将期货价格的价格演化建模为包含Ito和的离散随机序列。我们假设驱动收益过程的漂移和布朗运动是不可观测的，交易费用用买卖价差表示。我们给出了最优投资组合过程的显式解，并给出了一个使用对数效用的例子。
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英文标题：
《Statistical Arbitrage and Optimal Trading with Transaction Costs in
Futures Markets》
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作者：
Theodoros Tsagaris
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最新提交年份：
2008
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
We consider the Brownian market model and the problem of expected utility maximization of terminal wealth. We, specifically, examine the problem of maximizing the utility of terminal wealth under the presence of transaction costs of a fund/agent investing in futures markets. We offer some preliminary remarks about statistical arbitrage strategies and we set the framework for futures markets, and introduce concepts such as margin, gearing and slippage. The setting is of discrete time, and the price evolution of the futures prices is modelled as discrete random sequence involving Ito's sums. We assume the drift and the Brownian motion driving the return process are non-observable and the transaction costs are represented by the bid-ask spread. We provide explicit solution to the optimal portfolio process, and we offer an example using logarithmic utility.
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PDF链接：
https://arxiv.org/pdf/0801.3348
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