Browsing by Subject "Transaction costs"

Filter results by typing the first few letters
Now showing 1 - 3 of 3
  • Thumbnail Image
    ItemOpen Access
    Currency substitution: a numerical dynamic programming approach
    (1998) Volkan, Engin
    This thesis conducts a theoretical study on currency substitution in an infinitelylived small open financially repressed economy which is subject to stochastic inflation shocks. For this purpose, a dynamic programming model is constructed under the assumption that purchasing power parity holds. The solution of the model through value function iteration shows that under high inflation, and financial repression, the inhibitants of an economy will demand foreign currency to the extend that it provides a better protection of their wealth against inflation.
  • Thumbnail Image
    ItemOpen Access
    Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming
    (Elsevier, 2010) Pınar, M. Ç.; Salih, A.; Camcı, A.
    We analyze the problem of pricing and hedging contingent claims in the multi-period, discrete time, discrete state case using the concept of a "λ gain-loss ratio opportunity". Pricing results somewhat different from, but reminiscent of, the arbitrage pricing theorems of mathematical finance are obtained. Our analysis provides tighter price bounds on the contingent claim in an incomplete market, which may converge to a unique price for a specific value of a gain-loss preference parameter imposed by the market while the hedging policies may be different for different sides of the same trade. The results are obtained in the simpler framework of stochastic linear programming in a multi-period setting, and have the appealing feature of being very simple to derive and to articulate even for the non-specialist. They also extend to markets with transaction costs.
  • Thumbnail Image
    ItemOpen Access
    Robust portfolio optimization with fuzzy TODIM, genetic algorithm and multi-criteria constraints
    (Springer New York LLC, 2024-03-27) Banerjee, A. K.; Pradhan, H. K.; Şensoy, Ahmet; Fabozzi, F.; Mahapatra, B.
    This paper adopts the multi-criterion decision-making model of fuzzy-TODIM and geneticalgorithm (GA) for optimal portfolio allocation. We applied Markowitz’s portfolio parame-ters as inputs for the fuzzy TODIM model to rank stocks that are constituents of each indexfrom three different markets. Portfolios are then generated dynamically using three weightingtechniques and subject to multi-objective criteria and additional constraints. The results indi-cate a significant variation in performance metrics between the model-generated portfoliosand the market indices. Replication of the procedure produces a similar outcome. Moreover,the out-of-sample tests conducted over 3 years validate the results’ robustness, indicating thatfuzzy TODIM, combined with GA, can achieve superior performance in dynamic portfolioallocation.