| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15205 |
| 来源ID | Working Paper 15205 |
| Dynamic Trading with Predictable Returns and Transaction Costs | |
| Nicolae B. Garleanu; Lasse H. Pedersen | |
| 发表日期 | 2009-08-06 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | We derive a closed-form optimal dynamic portfolio policy when trading is costly and security returns are predictable by signals with different mean-reversion speeds. The optimal strategy is characterized by two principles: 1) aim in front of the target and 2) trade partially towards the current aim. Specifically, the optimal updated portfolio is a linear combination of the existing portfolio and an "aim portfolio," which is a weighted average of the current Markowitz portfolio (the moving target) and the expected Markowitz portfolios on all future dates (where the target is moving). Intuitively, predictors with slower mean reversion (alpha decay) get more weight in the aim portfolio. We implement the optimal strategy for commodity futures and find superior net returns relative to more naive benchmarks. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w15205 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572881 |
| 推荐引用方式 GB/T 7714 | Nicolae B. Garleanu,Lasse H. Pedersen. Dynamic Trading with Predictable Returns and Transaction Costs. 2009. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w15205.pdf（338KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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