| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7392 |
| DP7392 Dynamic Trading with Predictable Returns and Transaction Costs | |
| Lasse Heje Pedersen; Nicolae Bogdan Garleanu | |
| 发表日期 | 2009-08-02 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | This paper derives in closed form the optimal dynamic portfolio policy when trading is costly and security returns are predictable by signals with different mean-reversion speeds. The optimal updated portfolio is a linear combination of the existing portfolio, the optimal portfolio absent trading costs, and the optimal portfolio based on future expected returns and transaction costs. Predictors with slower mean reversion (alpha decay) get more weight since they lead to a favorable positioning both now and in the future. We implement the optimal policy for commodity futures and show that the resulting portfolio has superior returns net of trading costs relative to more naive benchmarks. Finally, we derive natural equilibrium implications, including that demand shocks with faster mean reversion command a higher return premium. |
| 主题 | Financial Economics |
| 关键词 | Dynamic trading Portfolio choice Predictability Transaction costs |
| URL | https://cepr.org/publications/dp7392 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536229 |
| 推荐引用方式 GB/T 7714 | Lasse Heje Pedersen,Nicolae Bogdan Garleanu. DP7392 Dynamic Trading with Predictable Returns and Transaction Costs. 2009. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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