Parameter Uncertainty in Multiperiod Portfolio Optimization with Transaction Costs
研究了参数不确定性对面临二次交易成本的多期投资者期望效用的影响，提出了两种多期收缩投资组合，并通过模拟和实证数据证明其显著优于忽略参数不确定性或交易成本的组合。
Abstract We study the impact of parameter uncertainty on the expected utility of a multiperiod investor subject to quadratic transaction costs. We characterize the utility loss associated with ignoring parameter uncertainty, and show that it is equal to the product between the single-period utility loss and another term that captures the effects of the multiperiod mean-variance utility and transaction cost losses. To mitigate the impact of parameter uncertainty, we propose two multiperiod shrinkage portfolios and demonstrate with simulated and empirical data sets that they substantially outperform portfolios that ignore parameter uncertainty, transaction costs, or both.