Dealing with complex transaction costs in portfolio management
Dealing with complex transaction costs in portfolio management
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DOI：
10.1007/s10479-019-03210-5
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发表时间：
2021-04-01
影响因子：
4.8
通讯作者：
Pansera, Bruno Antonio
中科院分区：
文献类型：
--
作者：
Beraldi, Patrizia;Violi, Antonio;Pansera, Bruno Antonio
本文讨论了在投资组合管理模型中以一种高效和有效的方式对复杂的交易成本结构进行建模的问题。我们考虑了一个一般的交易成本结构，其中应用的佣金取决于交易货币量的范围，我们使用这个一般结构内的投资组合优化问题与再平衡决策，以应对新的市场条件。交易成本的存在减少了基金的资本，应适当核算，以避免影响投资组合业绩的重大成本。在本文中，我们提出了一个混合整数模型配备了一个专门的分支和界限的方法，利用特定的制定的交易业务。通过对真实交易者提供的交易成本结构进行的计算实验，表明了所提出的模型的有效性和求解方法的计算效率。
This paper deals with the problem of modelling complex transaction cost structures within portfolio management models in an efficient and effective way. We consider a general structure of transaction costs, where the applied commissions depend on the range of traded monetary amount and we use this general structure within a portfolio optimization problem with rebalancing decisions in response to new market conditions. The presence of transaction costs reduces the fund's capital and should be properly accounted for to avoid substantial costs that impact on portfolio performance. In this paper we present a mixed integer model equipped with a specialized Branch and Bound method that exploits the specific formulation of the trading operations. Computational experiments, carried out on transaction cost structures offered by real-life traders, have shown the effectiveness of the proposed model and the computational efficiency of the solution approach.