DocumentCode
423182
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
Volume
5
fYear
2004
fDate
26-29 Aug. 2004
Firstpage
2697
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Machine Learning and Cybernetics, 2004. Proceedings of 2004 International Conference on
Print_ISBN
0-7803-8403-2
Type
conf
DOI
10.1109/ICMLC.2004.1378303
Filename
1378303
Link To Document