Sökning: "Jedra Yassir"

Hittade 1 uppsats innehållade orden Jedra Yassir.

  1. 1. Multi-period portfolio optimization given a priori information on signal dynamics and transactions costs

    Master-uppsats, KTH/Optimeringslära och systemteori

    Författare :Jedra Yassir; [2018]
    Nyckelord :Multi-period portfolio optimization; portfolio selection; mean-variance optimization; return predictability; mean reverting processes; transactions costs; market impacts; stochastic optimal control.;

    Sammanfattning : Multi-period portfolio optimization (MPO) has gained a lot of interest in modern portfolio theory due to its consideration for inter-temporal trading e effects, especially market impacts and transactions costs, and for its subtle reliability on return predictability. However, because of the heavy computational demand, portfolio policies based on this approach have been sparsely explored. LÄS MER