Optimal trading with transaction costs and short-term predictability
研究了在存在可预测收益和比例交易成本时，投资者如何在多种资产间进行最优动态交易，给出了N种资产遵循MA(1)过程的精确交易规则，并模拟了交易成本、波动性和可预测性对交易行为的影响。
We consider the problem of optimal dynamic trading in the presence of predictable returns and proportional transaction costs for an investor choosing among multiple assets. The value of each security equals the expected value of holding the asset plus the value of all options to trade. We provide exact trading rules for N-assets that follow an MA(1) process. Simulations demonstrate the impact of transaction costs, volatility, and predictability on optimal trading behavior. The optimal trading rule can substantially increase performance if transaction costs vary among assets.