Search results for "Transaction"

A Unified Approach to Portfolio Optimization with Linear Transaction Costs

2004

In this paper we study the continuous time optimal portfolio selection problem for an investor with a finite horizon who maximizes expected utility of terminal wealth and faces transaction costs in the capital market. It is well known that, depending on a particular structure of transaction costs, such a problem is formulated and solved within either stochastic singular control or stochastic impulse control framework. In this paper we propose a unified framework, which generalizes the contemporary approaches and is capable to deal with any problem where transaction costs are a linear/piecewise-linear function of the volume of trade. We also discuss some methods for solving numerically the p…

Mental Account Barriers and Transaction Purpose: A Romanian Point of View

2013

Abstract The present study encompasses the behavioral model of decision making. Using the models provided by scientific literature, the relationship between the basic structure of mental accounts, transaction utility and consumer decision, together with perceived comfortability. The procedure was carried out using undergraduate students of Lucian Blaga University of Sibiu, with similar proportions of sexes and with resembling ages. Results have shown that influence of mental accounting structuring and transaction utility on decision and perceived comfortability is insignificant, taken into account the differences between sexes. The presented results bring knowledge into the economic behavio…

The relationship between interdisciplinarity and distinct modes of university-industry interaction

2019

Abstract Interdisciplinary research (IDR) has raised increasing expectations among scholars and policymakers about its potential to produce ground-breaking scientific contributions and satisfy societal demands. While existing research highlights that novel connections across fields is beneficial for scientific contributions with high academic impact, comparatively less is known about whether IDR is positively associated to scientists’ engagement with non-academic actors. To investigate this, we examine whether there is a systematic relationship between scientists’ IDR-orientation and their interactions with industry. We conceptually distinguish four stylized modes of interaction (firm creat…

Inter-firm relationship design for achieving supply network responsiveness

2008

How the strategic objectives pursued in inter-firm relationships influence the choice of the governance form: an empirical study in two high-tech Ita…

2012

In today’s competitive landscape, the choice of the appropriate mode to governance an inter-firm relationship is an important factor for companies. In literature several theoretical strands have examined the impact of the alliance purpose on the governance forms. Building on a robust literature review on the topic, this study focuses on a specific issue influencing the choice of the governance form in inter-firm relationships, i.e. the alliances’ purpose with relation to partner’s resources. We gather in a unique framework three typologies of partner’s resources, i.e. production, R&D and marketing, and through two empirical analyses in two different Italian industries, machine tool and phar…

Dall'impresa gerarchica alla comunità distribuita

2014

This article describes the emergence of collaborative production systems, that is those decentralized systems, different from markets and firms, where a community a loosely connected people, with a range of diverse and primarily intrinsic motivation, engage in a large scale collaboration whose outputs are governed as commons (e.g. open software, open hardware, etc.). After a description of the relationship between market system and managerial hierarchy, and the costs connected to each of these systems, the article exposes how peer production is usually organized and identifies the relative advantages of this organizational model over markets and firms under given circumstances. In the last …

Volatility Weighting over Time in the Presence of Transaction Costs

2019

Numerous empirical studies demonstrate the superiority of dynamic strategies with a volatility-weighting-over-time mechanism. These strategies control the portfolio risk over time by adjusting the risk exposure according to updated volatility forecasts. Yet, to reap all the benefits promised by volatility weighting over time, the composition of the active portfolio must be revised rather frequently. Transaction costs represent a serious obstacle to benefiting from this dynamic risk control technique. In this article, we propose a modified volatility-weighting strategy that allows one to reduce dramatically the amount of trading costs. The empirical evidence shows that the advantages of the …

The Best Hedging Strategy in the Presence of Transaction Costs

2009

Considerable theoretical work has been devoted to the problem of option pricing and hedging with transaction costs. A variety of methods have been suggested and are currently being used for dynamic hedging of options in the presence of transaction costs. However, very little was done on the subject of an empirical comparison of different methods for option hedging with transaction costs. In a few existing studies the different methods are compared by studying their empirical performances in hedging only a plain-vanilla short call option. The reader is tempted to assume that the ranking of the different methods for hedging any kind of option remains the same as that for a vanilla call. The …

Transaction Costs and Returns to a Trading Strategy

2017

This chapter starts with a review of transaction costs in capital markets. Then it demonstrates how to simulate the returns to a moving average trading strategy in the presence of transaction costs. The following two cases are considered when a trading indicator generates a sell signal: case one where the trader switches to cash, and case two where the trader alternatively sells short a financial asset.

Option Pricing and Hedging in the Presence of Transaction Costs and Nonlinear Partial Differential Equations

2008

In the presence of transaction costs the perfect option replication is impossible which invalidates the celebrated Black and Scholes (1973) model. In this chapter we consider some approaches to option pricing and hedging in the presence of transaction costs. The distinguishing feature of all these approaches is that the solution for the option price and hedging strategy is given by a nonlinear partial differential equation (PDE). We start with a review of the Leland (1985) approach which yields a nonlinear parabolic PDE for the option price, one of the first such in finance. Since the Leland's approach to option pricing has been criticized on different grounds, we present a justification of…