Download or read book Optimal Portfolio Management when There are Taxes and Transaction Costs microform written by Cristin Buescu and published by Library and Archives Canada = Bibliothèque et Archives Canada. This book was released on 2004 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Portfolio Management when There are Taxes and Transaction Costs written by Cristin Buescu and published by . This book was released on 2004 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Portfolio Management with Transactions Costs and Capital Gains Taxes written by Hayne E. Leland and published by . This book was released on 1999 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Portfolio Management with Transactioins Costs and Capital Gains Taxes written by Hayne E. Leland and published by . This book was released on 1999 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Dynamic Portfolio Selection with Transaction Costs microform a Non singular Stochastic Optimal Control Approach written by Thamayanthi Chellathurai and published by National Library of Canada = Bibliothèque nationale du Canada. This book was released on 2003 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Portfolio Rebalancing with Transaction Costs written by Wendell Helms Fleming and published by . This book was released on 1991 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Portfolio Optimization with Transaction Costs and Capital Gain Taxes written by and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Across various sets of parameters, duality gaps between lower and upper bounds are smaller than 3% in most examples. We are able to solve the problem up to the size of 20 risky assets and a 30-year-long horizon.
Download or read book Optimal Portfolio and Consumption with Transaction Costs written by Zheng Zhang and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Portfolio Optimization with Transaction Costs and Preconceived Portfolio Weights written by Jeremy Dale Myers and published by . This book was released on 2009 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the financial world, many quantitative investment managers have developed sophisticated statistical techniques to generate signals about expected returns from previous market data. However, the manner in which they apply this information to rebalancing their portfolios is often ad-hoc, trading off between rebalancing their assets into an allocation that generates the greatest expected return based on the generated signals and the incurred transaction costs that the reallocation will require. In this thesis, we develop an approximation to our investor's true value function which incorporates both return predictability and transaction costs. By optimizing our approximate value function at each time step, we will generate a portfolio strategy that closely emulates the optimal portfolio strategy, which is based on the true value function. In order to determine the optimal set of parameters for our approximate function which will generate the best overall portfolio performance, we develop a simulation-based method. Our computational implementation is verified against well-known base cases. We determine the optimal parameters for our approximate function in the single stock and bond case. In addition, we determine a confidence level on our simulation results. Our approximate function gives us useful insight into the optimal portfolio allocation in complex higher dimensional cases. Our function derivation and simulation methodology extend easily to portfolio allocation in higher dimensional cases, and we implement the modifications required to run these simulations. Simple cases are tested and more complex tests are specified for testing when appropriate dedicated computing resources are available.
Download or read book Portfolio Optimization with Concave Transaction Costs written by and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Portfolio Choice Under Partial Information and Transaction Costs written by Huamao Wang and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Portfolio Investment with the Exact Tax Basis Via Nonlinear Programming written by Victor DeMiguel and published by . This book was released on 2004 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computing the optimal portfolio policy of an investor facing capital gains tax is a challenging problem: because the tax to be paid depends on the price at which the security was purchased (the tax basis), the optimal policy is path dependent and the size of the problem grows exponentially with the number of time periods. A popular approach to address this problem is to approximate the exact tax basis by the weighted average purchase price. Our contribution is threefold. First, we show that the structure of the problem has several attractive features that can be exploited to determine the optimal portfolio policy using the exact tax basis via nonlinear programming. Second, we characterize the optimal portfolio policy in the presence of capital-gains tax when using the exact tax basis. Third, we show that the certainty equivalent loss from using the average tax basis instead of the exact basis is very small: it is typically less than 1% for problems with up to ten periods, and this result is robust to the choice of parameter values and to the presence of transaction costs, dividends, intermediate consumption, labor income, tax reset provision at death, and wash-sale constraints.
Download or read book Optimal Portfolio Turnover Under Non convex Unit Transaction Costs written by Emrah Silav and published by . This book was released on 2009 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Portfolio Optimization Under Transaction Costs written by Gennady Shaikhet and published by . This book was released on 2003 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2003 with total page 624 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstracts of dissertations available on microfilm or as xerographic reproductions.
Download or read book Selected Water Resources Abstracts written by and published by . This book was released on 1984 with total page 1014 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book General Revenue Revision Hearings Eighty fifth Congress Second Session on Topics Pertaining to the General Revision of the Internal Revenue Code Pt 2 written by United States. Congress. House. Committee on Ways and Means and published by . This book was released on 1958 with total page 1174 pages. Available in PDF, EPUB and Kindle. Book excerpt:
