Optimal tracking for asset allocation with fixed and proportional transaction costs
研究了在固定和比例交易成本下，如何最优地跟踪目标资产组合，通过脉冲控制理论求解两资产情形，并给出敏感度分析和交易频率等性能指标。
This paper studies the asset allocation problem of optimally tracking a target mix of asset categories when there are transaction costs. We consider the trading strategy for an investor who is trying to minimize both fixed and proportional transaction costs while simultaneously minimizing the tracking error with respect to a specified, target asset mix. We use imupulse control theory in a continuous-time, dynamic setting to deal with this problem in a general and analytical way, showing that the optimal trading strategy can be characterized in terms of a quasi-variational inequality. We derive an explicit solution for the two-asset case, and we use this to provide a sensitivity analysis, showing how the optimal strategy depends upon individual input parameters. We also use some theory for one-dimensional diffusion processes to derive analytical expressions for various measures of performance such as the average time between transactions.