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...
Saved in:
| Main Authors: | , |
|---|---|
| 格式: | text |
| 語言: | English |
| 出版: |
Institutional Knowledge at Singapore Management University
2004
|
| 主題: | |
| 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 |
| 標簽: |
添加標簽
沒有標簽, 成為第一個標記此記錄!
|