Dynamic Trading with Predictable Returns and Transaction Costs
收藏NBER2009-08-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w15205
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资源简介：
We derive a closed-form optimal dynamic portfolio policy when trading is costly and security returns are predictable by signals with different mean-reversion speeds. The optimal strategy is characterized by two principles: 1) aim in front of the target and 2) trade partially towards the current aim.
提供机构：
美国国家经济研究局
创建时间：
2009-08-01
