Document Zbl 1320.91135

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Methods Oper. Res.</a> <a href="/?q=in%3A345910" title="Articles in this Issue">81, No. 3, 337-359 (2015)</a>. </div> <div class="abstract">Summary: In this paper, we consider the impact of transaction costs on the periodic portfolio revision. We offer a statistical model for simulation of daily returns which can explain the empirical behavior of equity returns. The model is based on ARMA-GARCH processes, principal component analysis, classical tempered stable distribution, and skewed $t$ copula. The main contribution of this paper is the application of a new approach for modelling transaction costs using daily returns by estimating an optimal portfolio with an arbitrary length for the holding period. Moreover, we compare the portfolio selection problem solved with and without transaction costs by applying different risk and performance measures on simulated returns, taking into account their Sharpe ratio and stable tail-adjusted return ratio. The experimental analysis suggests that the incorporation of transaction costs into an optimal portfolio framework leads to remarkable reduction of the transaction costs and stabilization of the optimal portfolio strategy. However, ignoring transaction costs does not always result in a less efficient portfolio.</div> <div class="clear"></div> <br> <div class="citations"><div class="clear"><a href="/?q=rf%3A6457217">Cited in <strong>1</strong> Document</a></div></div> <div class="classification"> <h3>MSC:</h3> <table><tr> <td> <a class="mono" href="/classification/?q=cc%3A91G10" title="MSC2020">91G10</a> </td> <td class="space"> Portfolio theory </td> </tr><tr> <td> <a class="mono" href="/classification/?q=cc%3A62P05" title="MSC2020">62P05</a> </td> <td class="space"> Applications of statistics to actuarial sciences and financial mathematics </td> </tr><tr> <td> <a class="mono" href="/classification/?q=cc%3A62M10" title="MSC2020">62M10</a> </td> <td class="space"> Time series, auto-correlation, regression, etc. in statistics (GARCH) </td> </tr><tr> <td> <a class="mono" href="/classification/?q=cc%3A62H05" title="MSC2020">62H05</a> </td> <td class="space"> Characterization and structure theory for multivariate probability distributions; copulas </td> </tr><tr> <td> <a class="mono" href="/classification/?q=cc%3A62H25" title="MSC2020">62H25</a> </td> <td class="space"> Factor analysis and principal components; correspondence analysis </td> </tr><tr> <td> <a class="mono" href="/classification/?q=cc%3A91B84" title="MSC2020">91B84</a> </td> <td class="space"> Economic time series analysis </td> </tr><tr> <td> <a class="mono" href="/classification/?q=cc%3A91G70" title="MSC2020">91G70</a> </td> <td class="space"> Statistical methods; risk measures </td> </tr></table> </div><div class="keywords"> <h3>Keywords:</h3><a href="/?q=ut%3Aportfolio+optimization">portfolio optimization</a>; <a href="/?q=ut%3Atransaction+costs">transaction costs</a>; <a href="/?q=ut%3Arisk+measures">risk measures</a>; <a href="/?q=ut%3Aperformance+measures">performance measures</a>; <a href="/?q=ut%3Atempered+stable+distributions">tempered stable distributions</a></div>  <div class="modal fade" id="metadataModal" tabindex="-1" role="dialog" aria-labelledby="myModalLabel"> <div class="modal-dialog" role="document"> <div class="modal-content"> <div class="modal-header"> <button type="button" class="close" data-dismiss="modal" aria-label="Close"><span aria-hidden="true">×</span></button> <h4 class="modal-title" id="myModalLabel">Cite</h4> </div> <div class="modal-body"> <div class="form-group"> <label for="select-output" class="control-label">Format</label> <select id="select-output" class="form-control" aria-label="Select Metadata format"></select> </div> <div class="form-group"> <label for="metadataText" class="control-label">Result</label> <textarea class="form-control" id="metadataText" rows="10" style="min-width: 100%;max-width: 100%"></textarea> </div> <div id="metadata-alert" class="alert alert-danger" role="alert" style="display: none;">  </div> </div> <div class="modal-footer"> <button type="button" class="btn btn-primary" onclick="copyMetadata()">Copy to clipboard</button> <button type="button" class="btn btn-default" data-dismiss="modal">Close</button> </div> </div> </div> </div> <div class="functions clearfix"> <div class="function">  <a type="button" class="btn btn-default btn-xs pdf" data-toggle="modal" data-target="#metadataModal" data-itemtype="Zbl" data-itemname="Zbl 1320.91135" data-ciurl="/ci/06457217" data-biburl="/bibtex/06457217.bib" data-amsurl="/amsrefs/06457217.bib" data-xmlurl="/xml/06457217.xml" > Cite </a> <a class="btn btn-default btn-xs pdf" data-container="body" type="button" href="/pdf/06457217.pdf" title="Zbl 1320.91135 as PDF">Review PDF</a> </div> <div class="fulltexts"> <span class="fulltext">Full Text:</span> <a class="btn btn-default btn-xs" type="button" href="https://doi.org/10.1007/s00186-015-0500-6" aria-label="DOI for “Periodic portfolio revision with transaction costs”" title="10.1007/s00186-015-0500-6">DOI</a> </div> <div class="sfx" style="float: right;"> </div> </div> <div class="references"> <h3>References:</h3> <table><tr> <td>[1]</td> <td class="space">Acerbi C, Tasche D (2001) Expected shortfall: a natural coherent alternative to value at risk. 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