Rebalancing an investment portfolio in the presence of convex transaction costs,including market impact costs

The inclusion of transaction costs is an essential element of any realistic portfolio optimization. We extend the standard portfolio optimization problem to consider convex transaction costs incurred when rebalancing an investment portfolio. Market impact costs measure the effect on the price of a security that result from an effort to buy or sell the security, and they can constitute a large part of the total transaction costs. The loss to a portfolio from market impact costs is often modelled with a convex function that can be expressed using second-order cone constraints. The Markowitz framework of mean-variance efficiency is used. In order to properly represent the variance of the resulting portfolio, we suggest rescaling by the funds available after paying the transaction costs. This results in a fractional programming problem, which we show can be reformulated as an equivalent convex program of size comparable to the model without transaction costs. We show that an optimal solution to the convex program can always be found that does not discard assets.     

An optimal schedule for dollar cost averaging under different transaction costs

Dollar cost averaging is a popular habit adopted by investors who recognize the diffculty in consistently timing the market. Recent technological innovations allow for the direct deposit of a predetermined portion of each paycheck into a brokerage account for the purchase of equities. Since most payperiods are biweekly or monthly, the automatic and frequent purchase of small amounts of equity produces substantial transaction costs. If funds were allowed to accumulate for a time in a money market account prior to equity purchase, then transaction costs may be lowered. However, since equity returns are generally more than that earned in the money market, delayed purchases would forfeit higher returns. In this study, we determine the optimal transaction size to maximize returns. We use the classical economic order quantity framework of inventory management and extend that framework to deal with the special discounting structures commonly offered by brokerage firms. Numerical examples and sensitivity analysis of fixed and variable transaction cost structure models are presented.     

基于PSO的考虑完整费用的证券组合优化研究

通过分析中国证券市场证券交易不可拆分、不能卖空的特点以及现存的各种交易费用,建立一个考虑完整交易费用的证券投资组合优化模型,同时给出一个应用粒子群算法(PSO)求解的实例。结果证明该证券投资组合优化模型的完整性和有效性,也表明PSO算法可以快速准确地求解证券投资组合优化问题。     

基于灵敏度分析的含比例型手续费的投资组合优化

研究含比例型手续费的离散时间投资组合优化问题. 基于马尔可夫决策过程模型和性能灵敏度分析方法, 推导两个不同投资策略之间的资产长期平均增值率的差分公式, 利用差分公式的结构特点, 证明了最优性方程, 并设计出可在线应用的策略迭代算法. 仿真实例验证了所提出算法的有效性.

     

Business relationships in internet-based electronic markets: the role of goodwill trust and transaction costs

Abstract.  Transaction costs and goodwill trust, which differentiate between transactional and collaborative relationships, were found in existing research to play a significant role in the way organizations use internet technologies to manage their relationships with customers and suppliers within electronic markets (EM). However, a thorough investigation of role that the two dimensions play together in shaping the use of EM is lacking from the mainstream literature. This research addresses transaction costs and goodwill trust together to clarify the transformations that internet use has brought on the nature of interorganizational relationships that develop between EM players. The research finds the use of EM in collaborative relationships is governed by trade-offs between different outcomes that different EM functionalities have on organizational objectives. Organizations assess these trade-offs, and select those functionalities that best serve to achieve their collaborative relational objectives. In contrast, no trade-offs are find in the transactional model, as the use of EM here is driven principally by transaction cost reductions.     

Observer-based optimal output tracking for discrete-time systems with multiple state and input delays

The optimal output tracking control (OOTC) problem for a class of discrete-time systems with state and input delays is addressed. An augmented system is constructed such that the OOTC problem can be transformed into a two-point boundary value (TPBV) problem with both advance and delay terms from the necessary optimality conditions. The successive approximating method recently developed is extended to obtain an approximate solution of the TPBV problem, which is then used to obtain a feedforward and feedback tracking controller. An observer is designed for the uncertain reference input such that the feedforward controller is physically realizable. Simulations show the results are effective even with long time-delays. Recommended by Editorial Board member Poo Gyeon Park under the direction of Editor Young Il Lee. This research was supported by the National Natural Science Foundation of China (Grant No. 40776051), the Key Natural Science Foundation of Shandong Province (Grant No. Z2005G01), the Natural Science Foundation of Qingdao City (Grant No. 05-1-JC-94) and the research funds of QingDao University of Science and Technology. Hai-Hong Wang received the Ph.D. degree in Computer Science in July 2007 from Ocean University of China. She presently works in QingDao University of Science and Technology, Qingdao, P.R. China. Her current research interests include analysis and control for time-delay systems and nonlinear systems. Gong-You Tang received the Ph.D. degree in Control Theory and Applications from the South China University of Technology, P. R. China in 1991. He is a Professor at the College of Information Science and Engineering at the Ocean University of China, Qingdao, P. R. China. He is the Editor of the Journal of the Ocean University of China and Control and the Instruments in Chemical Industry. His research interests are in the areas of nonlinear systems, delay systems, large-scale systems, and networked control systems, with emphasis in optimal control, robust control, fault diagnosis and stability analysis.     

考虑交易费的融资与分红最优控制模型

在实际金融市场中股份公司在红利分配和再融资过程中都需要支付固定交易费和比例交易费 ,而如何确定交易费对公司财务决策的影响还没有进行过讨论 .本文利用随机脉冲控制理论研究了在收取固定和比例交易费的市场环境下 ,公司如何制定其最优的财务策略 .首先给出了最优控制问题对应的Hamilton_Jacobi_Bellman方程 ,接着构造出了它的连续可微解 .利用解的性质和推广的It^o公式 ,构造出了最优的再融资及分红策略 .最后对模型的应用做了经济学上的解释 ,并与已有模型做了比较     

A formula for the optimal cost in the general discrete-time LEQG problem

This paper is aimed at deriving an explicit formula for the optimal cost for discrete-time linear exponential-of-quadratic Gaussian (LEQG) control problems. We make direct calculations for the general case with cross terms in the cost and noise covariance matrices using an information-state approach.     

Transmission pricing and recovery of investment costs in the deregulated power system based on optimal circuit prices

Transmission pricing has become a major issue in the discussions about the deregulated electricity markets.Consequently,open access to the transmission system is one of the basic topics to allow competition among participants in the energy market.Transmission costs have an important impact on relative competition among participants in the energy market as well as on short-and long-term economic efficiencies of the whole electricity industry,although they represent only close to 10% of the energy market price.This paper deals with the design and tests of a transmission pricing method based on the optimal circuit prices derived from the economically adapted network(EAN).Prices derived from the EAN have the advantage of being in tune with the maximum revenue allowed to the owner of transmission assets and simplifying the optimal allocation of transmission costs among participants.Beginning from the conceptual design,the proposed method is tested on a three-bus network and on the IEEE 24-bus reliability test system.     

Average cost optimal policies for Markov control processes with Borel state space and unbounded costs

We show the existence of average cost optimal stationary policies for Markov control processes with Borel state space and unbounded costs per stage, under a set of assumptions recently introduced by L.I. Sennott (1989) for control processes with countable state space and finite control sets.