Optimal Transaction Filters under Transitory Trading Opportunities: Theory and Empirical Illustration

If transitory profitable trading opportunities exist, filter rules are used to mitigate transaction costs. We use a dynamic programming framework to design an optimal filter which maximizes after-cost expected returns. The filter size depends crucially on the degree of persistence of trading opportu...

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Main Authors: Balvers, Ronald J., Wu, Yangru
格式: text
語言:English
出版: Institutional Knowledge at Singapore Management University 2004
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在線閱讀:https://ink.library.smu.edu.sg/lkcsb_research_smu/14
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1013&context=lkcsb_research_smu
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