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What is Optimal Dynamic Trading Strategies about?
This paper presents a closed-form solution for the optimal dynamic portfolio policy considering trading costs and predictable security returns influenced by different mean reversion speeds. The optimal strategy combines the current portfolio, an ideal portfolio without trading costs, and future expected returns, emphasizing the importance of slower mean-reverting signals. Empirical results demonstrate that this strategy yields superior returns in commodity futures markets compared to naive benchmarks, highl
- Author
- zhangjieyu98
- Language
- EN