Essays about: "fixed transaction costs"

Showing result 1 - 5 of 12 essays containing the words fixed transaction costs.

1. 1. Portfolio Optimization Problems with Transaction Costs

   University essay from KTH/Skolan för teknikvetenskap (SCI)

   Author : Stina Gustavsson; Linnéa Gyllberg; [2023]
   Keywords : Portfolio optimization; variable transaction costs; fixed transaction costs;

   Abstract : Portfolio theory is a cornerstone of modern finance, and it is based on the idea that an investor can reduce risk by diversifying their investments across various assets. In practice, Harry Markowitz mean-variance optimization theory is expanded upon by taking into account variable and fixed transaction cost, making the model slightly more reliable. READ MORE

3. 2. Optimal Portfolio Re-Balancing on Fixed Periods using a Cost/Risk Adaptation Model and Stochastic Optimization.

   University essay from Linköpings universitet/Produktionsekonomi

   Author : Max Ehn; Marcus Jämte; [2023]
   Keywords : Optimal portfolio re-balancing; optimal liquidation; minimize transaction costs; trading-volume estimation; stochastic optimization; Financial mathematics; tracking error; execution strategies; opportunity costs; liquidation costs; applied mathematics; PRIIP regulation; Swing-pricing;

   Abstract : In this thesis we investigate the problem of portfolio re-balancing for fixed periods using a cost/risk adaptation model and stochastic optimization. The cost/risk adaptation model takes theory of optimal liquidity costs and risk preference to build a universe in which we try to find better strategies than conventional ones. READ MORE

4. 3. Volatility Managing Strategy - A Strategy for Mitigating Risk and Stabilizing Risk-adjusted Return

   University essay from KTH/Matematisk statistik

   Author : Sara Barwary; Hanna Lind; [2021]
   Keywords : ARCH; EGARCH; GARCH; GJR-GARCH; Return; Risk; Volatility; Volatility Managing Strategy; ARCH; EGARCH; GARCH; GJR-GARCH; Avkastning; Risk; Volatilitet; Volatilitetshanterande strategi;

   Abstract : Volatility managing strategies have gained attention over the last few years due to theiralleged ability to increase portfolio return and mitigate risk. This thesis examines the performance and risk of a portfolio using such a strategy on the Swedish equity market. The strategy is dependent on the forecasting of volatility. READ MORE

5. 4. Farmers management of fluctuating market prices for wheat and oilseeds : a case study of Swedish grain farmers

   University essay from SLU/Dept. of Economics

   Author : Caroline Beck-Friis; Vilhelm Linde; [2021]
   Keywords : agriculture; business administration; forward contract; futures contract; grain farmers; grain marketing; grain marketing strategy; handelsbanken; hedging;

   Abstract : Since joining the European Union in 1995, food policy in Sweden has gradually undergone significant changes. Before that, the policy was thoroughly guided by ensuring and prioritizing domestic production, which was done through a system of price controls. READ MORE

6. 5. An Empirical Evaluation of Improved Volatility-Based Trading Strategies

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Raphael Bierschenk; Stefan Wennemar; [2019]
   Keywords : Volatility-Managed Portfolios; Volatility Timing; Moreira and Muir; Portfolio Choice; Variance Estimation;

   Abstract : In 2017, Moreira and Muir published their paper "Volatility-Managed Portfolios", showing that investors can beat the market, purely by choosing their risk exposure based on the inverse of last month's realized variance. While their results are influential in nature, suggesting, against common belief, investors should take less risk in recessions, they singularly rely on realized variance as a risk measure and a fixed monthly rebalancing period. READ MORE