Dynamic Trading with Predictable Returns and Transaction Costs

• 成果类型: Article
• 署名作者: Garleanu, Nicolae; Pedersen, Lasse Heje
• 署名单位: University of California System; University of California Berkeley; National Bureau of Economic Research; New York University; Copenhagen Business School
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12080
• 发表日期: 2013
• 页码: 2309-2340
• 关键词: liquidity premia; asset prices; equilibrium; INVESTMENT; MARKETS; IMPACT; RISK

摘要

We derive a closed-form optimal dynamic portfolio policy when trading is costly and security returns are predictable by signals with different mean-reversion speeds. The optimal strategy is characterized by two principles: (1) aim in front of the target, and (2) trade partially toward the current aim. Specifically, the optimal updated portfolio is a linear combination of the existing portfolio and an aim portfolio, which is a weighted average of the current Markowitz portfolio (the moving target) and the expected Markowitz portfolios on all future dates (where the target is moving). Intuitively, predictors with slower mean-reversion (alpha decay) get more weight in the aim portfolio. We implement the optimal strategy for commodity futures and find superior net returns relative to more naive benchmarks.