发帖
雷达卡
英文标题：
《Large-Scale Portfolio Allocation Under Transaction Costs and Model
Uncertainty》
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作者：
Nikolaus Hautsch, Stefan Voigt
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最新提交年份：
2018
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英文摘要：
We theoretically and empirically study portfolio optimization under transaction costs and establish a link between turnover penalization and covariance shrinkage with the penalization governed by transaction costs. We show how the ex ante incorporation of transaction costs shifts optimal portfolios towards regularized versions of efficient allocations. The regulatory effect of transaction costs is studied in an econometric setting incorporating parameter uncertainty and optimally combining predictive distributions resulting from high-frequency and low-frequency data. In an extensive empirical study, we illustrate that turnover penalization is more effective than commonly employed shrinkage methods and is crucial in order to construct empirically well-performing portfolios.
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中文摘要：
我们从理论上和实证上研究了交易成本下的投资组合优化问题，并在交易成本约束下的交易额惩罚和协方差收缩之间建立了联系。我们展示了交易成本的事前合并如何将最优投资组合转变为有效配置的规范化版本。交易成本的监管效应是在计量经济学环境下研究的，该环境考虑了参数的不确定性，并将高频和低频数据产生的预测分布进行了最佳组合。在一项广泛的实证研究中，我们表明，换手惩罚比常用的收缩方法更有效，对于构建经验上表现良好的投资组合至关重要。
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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