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A portfolio optimization model with non-linear market impact costs
Contributed abstract
in session Finance II, cluster Finance
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Authors
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Hitoshi Takehara
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Graduate School of Finance, Accounting and Law, Waseda University |
Abstract I estimate the price impacts function by using the tick-by-tick transaction data of individual securities listed on the Tokyo Stock Exchange. I also propose a nonlinear programming model for the optimal trading strategy and compute the trading costs to maintain the Fama-French style benchmark portfolios. Keywords - Finance
- Mathematical Programming
- Economics
Status:
accepted
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