Lựa chọn danh mục đầu tư với chi phí giao dịch dưới các ràng buộc của tỷ lệ thua lỗ kỳ vọng

Computational Management Science - Tập 5 - Trang 305-316 - 2007
Thomas Breuer1, Martin Jandačka1
1PPE Research Centre, Dornbirn, Austria

Tóm tắt

Một nhà đầu tư phải chịu chi phí giao dịch theo tỷ lệ phân bổ quỹ cho nhiều cổ phiếu và tài khoản ngân hàng, nhằm tối đa hóa tỷ lệ tăng trưởng kỳ vọng của giá trị danh mục đầu tư dưới các ràng buộc của Tỷ lệ Thua lỗ Kỳ vọng (ES). Trong một ví dụ số với mười bước thời gian và một cổ phiếu, các đổi mới quan trọng được gây ra bởi sự xuất hiện của ràng buộc Tỷ lệ Thua lỗ Kỳ vọng: Thứ nhất, lợi suất kỳ vọng giảm chưa đến một phần mười khi ràng buộc ES được đưa vào. So với trước đây, vốn kinh tế được đo lường bằng ES, giảm xuống chỉ còn từ một nửa đến ba phần tư, khi ràng buộc ES được áp dụng. Thứ hai, sự phụ thuộc của lợi suất kỳ vọng và ES vào danh mục đầu tư ban đầu, đặc biệt khi chi phí giao dịch cao, phần lớn được loại bỏ khi có sự xuất hiện của ràng buộc ES.

Từ khóa

#tỷ lệ thua lỗ kỳ vọng #chi phí giao dịch #lựa chọn danh mục đầu tư #tăng trưởng kỳ vọng #vốn kinh tế

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