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math.OC2025
On the Effect of Alpha Decay and Transaction Costs on the Multi-period Optimal Trading Strategy
Chutian Ma, Paul Smith
We consider the multi-period portfolio optimization problem with a single asset that can be held long or short. Due to the presence of transaction costs, maximizing the immediate r…
math.OC2024
Optimal two-parameter portfolio management strategy with transaction costs
Chutian Ma, Paul Smith
We consider a simplified model for optimizing a single-asset portfolio in the presence of transaction costs given a signal with a certain autocorrelation and cross-correlation stru…