{"title":"将交易成本纳入信贷组合优化:实施与实践考虑","authors":"Arik Ben Dor, Jingling Guan","doi":"10.3905/jfi.2023.1.171","DOIUrl":null,"url":null,"abstract":"We illustrate why constraining turnover as a mechanism for controlling t-costs in the implementation of systematic strategies is suboptimal. We examine two alternative approaches to incorporating t-costs into the optimization process and find that they could improve strategies’ net performance.","PeriodicalId":53711,"journal":{"name":"Journal of Fixed Income","volume":"53 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2023-10-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Incorporating Transaction Costs in Credit Portfolio Optimization: Implementation and Practical Considerations\",\"authors\":\"Arik Ben Dor, Jingling Guan\",\"doi\":\"10.3905/jfi.2023.1.171\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We illustrate why constraining turnover as a mechanism for controlling t-costs in the implementation of systematic strategies is suboptimal. We examine two alternative approaches to incorporating t-costs into the optimization process and find that they could improve strategies’ net performance.\",\"PeriodicalId\":53711,\"journal\":{\"name\":\"Journal of Fixed Income\",\"volume\":\"53 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-10-09\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Fixed Income\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.3905/jfi.2023.1.171\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Fixed Income","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3905/jfi.2023.1.171","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Incorporating Transaction Costs in Credit Portfolio Optimization: Implementation and Practical Considerations
We illustrate why constraining turnover as a mechanism for controlling t-costs in the implementation of systematic strategies is suboptimal. We examine two alternative approaches to incorporating t-costs into the optimization process and find that they could improve strategies’ net performance.
期刊介绍：
The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.
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