16774

16774

بهينه سازي سبد سهام پويا با هزينه هاي معامله و ميزان جابجايي نسبي وابسته به حالت

كارشناسي ارشد

رياضي كاربردي - تحقيق در عمليات

آبان 1395

دكتر علاءالدين ملك

دكتر جواد وحيدي

رياضي

1395/12/07

1/1/1900 12:00:00 AM

Abstract: The portfolio selection (stock) is one of the most important issues in the field of investment management. The first model is based on risk an​d return to the issues raised by Markowitz in 1952 that is known to the mean-variance.The problem of dynamic portfolio choice with transaction costs is often addressed by constructing a Markov Chain approximation of the continuous time price processes. Using this approximation,we present an efficient numerical method to determine optimal portfolio strategies under time-and state-dependent drift an​d proportional transaction costs.This scenario arises when investors have behavioral biases o​r the actual drift is unknown an​d needs to be estimated.Our numerical method solves dynamic optimal portfolio problems with an exponentialutility function for time-horizons of up to 40 years.It is applied to measure the value of information an​d the loss from transaction costs using the indifference principle. Keywords: Dynamic programming,Markov Chain approximation,Numerical methods,State-dependent drift,Transaction costs