Title :
A hierarchical strategy for active portfolio management considering transaction costs
Author :
Lao, Lan-Jun ; Fan, Long-Zhen
Author_Institution :
Dept. of Finance, Fudan Univ., Shanghai, China
Abstract :
In this paper, a hierarchical strategy for active portfolio management considering transaction costs is presented based on the two multiplicative portfolio update rules and the cross rate prediction method. The empirical research work with the real data from Shanghai stock exchange shows that the presented active strategy is profitable in Chinese stock market.
Keywords :
costing; forecasting theory; investment; profitability; stock markets; Chinese stock market; Shanghai stock exchange; active portfolio management; cross rate prediction method; multiplicative portfolio update rules; profitability; transaction costs; Asset management; Costs; Finance; Financial management; Investments; Performance analysis; Portfolios; Prediction methods; Profitability; Stock markets;
Conference_Titel :
Machine Learning and Cybernetics, 2004. Proceedings of 2004 International Conference on
Print_ISBN :
0-7803-8403-2
DOI :
10.1109/ICMLC.2004.1378303
