Dissertations / Theses: 'Transaction costs'

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Manifavas, Charalampos. "Micropayment transaction costs." Thesis, University of Cambridge, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.620643.

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Elfarra, Mohamed Reyad. "The strategic importance of transaction costs : transaction costs as a barrier to entry." Thesis, University of Sheffield, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.440934.

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Nisol, Gilles. "Option pricing with transaction costs." Thesis, KTH, Matematik (Inst.), 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-102780.

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Portfolio optimization is an important field of research within financial engineering. The aim of the optimization is to fins what is the best strategy for an investor when choosing how to allocate their money between a bank account and a constant number of risky assets. In our problem, the investor must pay transaction costs, meaning that every time he transfers money, he loses a certain percentage of the money transferred. Thus, we have made the assumption of proportional transaction costs. In a frictionless market, Merton has proven that the optimal policy consists of a constant proportion of wealth in the risky asset. This means that one must constantly rehedge the portfolio to keep this ratio constant regardless of the evolution of the risky asset´s value. When transaction costs are imposed, repeated rehedging becomes too expensive and the optimal policy of investment is different. The so-called transaction cost region will appear; the investor should buy, sell or stay idle depending on whether his position at current time is above, below or within this region. One can show that we can transform the portfolio optimization problem into a double obstacle problems. Using this latter form of the problem, we have created and algorithm unveiling the different transaction cost regions. The algorithm and results of this algorithm will be presented.

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Panas, Vassilios Gerassimos. "Option pricing with transaction costs." Thesis, Imperial College London, 1993. http://hdl.handle.net/10044/1/7362.

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Whalley, A. E. "Option pricing with transaction costs." Thesis, University of Oxford, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.298265.

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Norman, Andrew R. "Portfolio selection with transaction costs." Thesis, Imperial College London, 1988. http://hdl.handle.net/10044/1/11848.

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Biggs, Carl T. "Implications of transaction costs for acquisition program cost breaches." Monterey, California. Naval Postgraduate School, 2013. http://hdl.handle.net/10945/34629.

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Approved for public release; distribution is unlimited
It is generally accepted that cost growth in federal major defense acquisition programs (MDAPs) is partially attributable to inaccurate cost estimates. Cost analysts exhaustively analyze manpower and resources to provide accurate estimates, however the influence of transaction costs is often ignored in traditional cost estimates. This thesis investigates the association between cost growth and transaction costs, the real cost of business negotiations and program management. We collect MDAP cost threshold breach data and cross reference it with a proxy for MDAP transaction costs (Systems Engineering/Program Management Costs) to determine whether a correlation exists. We use multiple logistic regression models to analyze the binary outcome of breach or no breach. The results show that for MDAPs with cost-plus contracts there is a statistically significant relation between the likelihood of a cost threshold breach occurring and the relative magnitude of the MDAPs transaction costs; no such relation exists for fixed price contracts. Although these results show an association between cost threshold breaches and transaction costs, there is no evidence of causality between these two variables and our exploration of causality is a topic for future research.

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Коваленко, Євген Володимирович, Евгений Владимирович Коваленко, Yevhen Volodymyrovych Kovalenko, and S. Zhylenko. "Information infrastructure's relationship to transaction costs." Thesis, Видавництво СумДУ, 2006. http://essuir.sumdu.edu.ua/handle/123456789/8456.

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Godwin, Erik Kinji Gray Virginia. "Transaction costs, discretion, and policy control." Chapel Hill, N.C. : University of North Carolina at Chapel Hill, 2008. http://dc.lib.unc.edu/u?/etd,1978.

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Thesis (Ph. D.)--University of North Carolina at Chapel Hill, 2008.
Title from electronic title page (viewed Dec. 11, 2008). "... in partial fulfillment of the requirements for the degree of Doctor of Philosophy in the Department of Political Science." Discipline: Political Science; Department/School: Political Science.

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Ponsford, Brenda Jeanette. "Marketing channels and transaction cost analysis : the role of transaction specific investment /." Diss., This resource online, 1993. http://scholar.lib.vt.edu/theses/available/etd-02022007-133643/.

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Solis-Webster, Martha Julia. "Information asymmetry and transaction costs in a cross-cultural business transaction." reponame:Repositório Institucional do FGV, 2014. http://hdl.handle.net/10438/13468.

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The intent of this paper is to provide a practitioners insight into the present and foreseeable future of problem of transaction cost economics related to culture and business etiquette that may increase the of complexity of business communication. We will also explore whether it impacts participant's mindsets regarding opportunistic or passive aggressive behavior. We will study the role of culture, ethics, information asymmetry, and legal systems regarding their importance towards the business contracts and lack of knowledge in local environments. We will make connections to contract theory strategies and objectives and recommend business practices. Furthermore, economic theory explores the role of the impossibility of the perfect contract. Historical and present day operational factors are examined for the determination of forward-looking contract law indications worldwide. This paper is intended provide a practitioners view with a global perspective of a multinational, mid-sized and small corporations giving consideration in a non-partisan and non-nationalistic view, yet examines the individual characteristics of the operational necessities and obligations of any corporation. The study will be general, yet cite specific articles to each argument and give adequate consideration to the intricacies of the global asymmetry of information. This paper defends that corporations of any kind and size should be aware of the risk of international business etiquette and cultural barriers that might jeopardize the savings you could obtain from engaging international suppliers.

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Potaptchik, Marina. "Portfolio Selection Under Nonsmooth Convex Transaction Costs." Thesis, University of Waterloo, 2006. http://hdl.handle.net/10012/2940.

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We consider a portfolio selection problem in the presence of transaction costs. Transaction costs on each asset are assumed to be a convex function of the amount sold or bought. This function can be nondifferentiable in a finite number of points. The objective function of this problem is a sum of a convex twice differentiable function and a separable convex nondifferentiable function. We first consider the problem in the presence of linear constraints and later generalize the results to the case when the constraints are given by the convex piece-wise linear functions.

Due to the special structure, this problem can be replaced by an equivalent differentiable problem in a higher dimension. It's main drawback is efficiency since the higher dimensional problem is computationally expensive to solve.

We propose several alternative ways to solve this problem which do not require introducing new variables or constraints. We derive the optimality conditions for this problem using subdifferentials. First, we generalize an active set method to this class of problems. We solve the problem by considering a sequence of equality constrained subproblems, each subproblem having a twice differentiable objective function. Information gathered at each step is used to construct the subproblem for the next step. We also show how the nonsmoothness can be handled efficiently by using spline approximations. The problem is then solved using a primal-dual interior-point method.

If a higher accuracy is needed, we do a crossover to an active set method. Our numerical tests show that we can solve large scale problems efficiently and accurately.

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Reppen, Max. "Investment and consumption with small transaction costs." Thesis, KTH, Matematik (Avd.), 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-139320.

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This thesis consists of two parts, both of which study the infinite horizon Merton problem under asymptotically small transaction costs. In the first part the asymptotical no trade regions are found numerically for proportional transaction costs, whereas the second is an initial attempt to employ homogenization theory previously used for fixed and proportional costs separately to the case of both costs simultaneously.

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Cai, Rong. "Trust and Transaction Costs in Industrial Districts." Virginia Tech, 2004. http://hdl.handle.net/10919/9948.

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Social capital is becoming a core concept in economics, political science, sociology and public policy. Trust, norms and social networks, constitute the three major components of social capital. These three factors interact together and play a significant role in transactions between people and organizations. However, there is no consensus about the influence of social capital on transaction costs. Some researchers have stated that social capital could reduce transaction costs associated with adapting, monitoring and enforcing transactions; some have analyzed the negative impacts of social capital on transaction costs; and still some have focused on transaction costs in the formation of social capital. Using organizations as the unit of analysis and concentrating on trust, this paper analyzes how trust, the central concept of social capital, impacts transaction costs in inter-organizational transactions. At the same time, it is argued that trust building is costly, and some activities that constitute transaction costs help to form a mutual-trust between organizations. Further, the paper points out that transaction costs and trust differ depending on the characters of transactions. The paper also studies the lock-in effects of trust on inter-organizational relationships and the role of intermediaries to mitigate the negative impacts. Finally, the paper intends to find policy and strategy implications for organizations and government to build a healthy and vigorous transaction environment.
Master of Urban and Regional Planning

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Коваленко, Євген Володимирович, Евгений Владимирович Коваленко, and Yevhen Volodymyrovych Kovalenko. "Transaction costs and the clean development mechanism." Thesis, Видавництво СумДУ, 2007. http://essuir.sumdu.edu.ua/handle/123456789/7985.

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Zhu, Yedi. "Invesment-consumption model with infinite transaction costs." Thesis, University of Warwick, 2014. http://wrap.warwick.ac.uk/67811/.

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This thesis considers optimal intertemporal consumption and investment problems in which the transaction costs on purchases of the risky asset are infinite. Equivalently, the problems can be classified as (infinitely divisible) asset sale problems with the restriction that the asset cannot be (re)-purchased. We will first present the classical Merton [41] model which comprises an agent with constant relative risk aversion (CRRA) who wishes to maximise the expected utility of consumption over an infinite horizon. Further, we introduce the extension of the single-asset Merton model with proportional transaction costs by Davis and Norman [13]. After discussing two preliminary optimal consumption and asset sale problems, we consider the special case of the Davis and Norman model, in which the transaction costs on purchase are infinite. Eﬀectively, the asset cannot be purchased but only be sold. We manage to provide a complete and thorough analysis of the problem with rigorous proofs by a new solution technique, which reduces the problem into a first crossing problem. Based on the new solution technique, we conduct the comparative statics to analyse the optimal strategies and the indiﬀerence price, especially their dependance on model parameters. Some surprising results are found and are further discussed. We then consider the optimal consumption and investment problem with multiple risky assets and with infinite transaction costs. We manage to make significant progress towards an analytical solution and completely characterise the diﬀerent possible behaviours of the agent by understanding the existence and finiteness of a first crossing problem. The monotonicity of the indiﬀerence price in model parameters is proved and a comparative statics is conducted.

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Li, Wei. "Optimal market timing strategies under transaction costs." HKBU Institutional Repository, 1999. http://repository.hkbu.edu.hk/etd_ra/164.

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Markeprand, Tobias. "Incomplete financial markets : Volatility and transaction costs." Kbh. : Department of Economics, University of Copenhagen, 2009. http://www.econ.ku.dk/Forskning/Publikationer/ph.d_serie_2007-/red132.pdf.

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19

Li, Chung-man. "A transaction cost perspective of online shopping." Click to view the E-thesis via HKUTO, 2008. http://sunzi.lib.hku.hk/hkuto/record/b4020392x.

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Li, Chung-man, and 李仲文. "A transaction cost perspective of online shopping." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2008. http://hub.hku.hk/bib/B4020392X.

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21

Yue, Chengyan. "Three essays on food quality and transaction costs." [Ames, Iowa : Iowa State University], 2006.

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22

Zhou, Chongrui. "Investment, valuation and hedging with proportional transaction costs." Thesis, University of Oxford, 2011. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.543460.

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O'Kelly, Glen James. "Forest-mill Integration from a Transaction Costs Perspective." Thesis, University of Canterbury. Forestry, 2008. http://hdl.handle.net/10092/1257.

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Fibre sourcing is a critical strategic question for all sawmills and pulpmills, but the degree of supply integration though long-term contracts and forest ownership varies widely. The purpose of this research was to investigate the extent to which forest-mill integration patterns can be explained by the transaction cost economics (TCE) theory. TCE theory holds that organizations will choose transaction governance forms that minimize transaction costs. The TCE factors expected to influence that choice can be grouped into three categories; transaction frequency, market uncertainty, and asset specificity. Interviews with various industry representatives suggested that factors from all three categories are relevant to the question of forest-mill integration. A survey was conducted of mills in New Zealand and Sweden, providing data on their supply mix and various TCE factors. Of an estimated population of approximately 450 mills, 136 mills were sampled and 88 responded to the survey. Fractional logit models were developed to explore the factors that may influence the integration decision. Considerable evidence was found for the importance of TCE factors in driving fibre supply integration. The evidence was strongest for factors related to asset specificity, including forest owner concentration and the specificity of a mill's fibre requirements. Transaction frequency appears less important; while integration was found to be significantly associated with the number of mills an organisation has within the supply basin, the influence of mill capacity was found to vary. There was weak evidence for the importance of uncertainty, and perhaps only through the impact of forest owner concentration on market conduct. Integration was found significantly higher for pulpmills than sawmills, and higher in Sweden than in New Zealand. The latter result is difficult to explain by TCE theory, and suggests that non-TCE factors play a significant role. Survey responses also indicated that non-TCE factors are important. Further research is required to enlarge the sample size and better understand the role of TCE factors in forest-mill integration.

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Li, Yanmin. "Optimal hedging under transaction costs and implied trees." Thesis, University of Warwick, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.418116.

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Roux, Alet. "European and American options under proportional transaction costs." Thesis, University of York, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.434154.

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Evanchik, Michael A. "A transaction cost analysis of defense contracting /." Thesis, Connect to this title online; UW restricted, 1989. http://hdl.handle.net/1773/8724.

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Orr, John Patrick 1950. "Trust and Governance in Hybrid Relationships: An Investigation of Logistics Alliances." Thesis, University of North Texas, 1998. https://digital.library.unt.edu/ark:/67531/metadc279315/.

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Transaction cost economics (TCE) theorists traditionally have classified transactions between firms as governed by either market or hierarchy. By assessing characteristics of the transaction - asset specificity, uncertainty, and frequency - firms choose the governance form which minimizes transaction costs, the costs of administering the business deal. During the 1980s, however, TCE has found itself unable to explain the proliferation of strategic alliances. These hybrid relationships seek the benefits of both markets and hierarchies, including quasi-integration, the control of assets without actual ownership. Further, hybrids tend to prefer trust-based relational contracting. TCE's acknowledgment of hybrids, however, raises other questions surrounding the behavioral assumptions which supposedly influence the transaction characteristic governance linkage. Various dissenting researchers have theorized that (1) trust is more dominant in business than opportunism (2) the behavioral assumptions actually function as variables in different contexts, and (3) trust offers an integration mechanism for behavioral variables.

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Tokarz, Krzysztof. "European and American option pricing under proportional transaction costs." Thesis, University of Hull, 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.418792.

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Wang, Huamao. "Optimal portfolio choice under partial information and transaction costs." Thesis, University of Leeds, 2011. http://kar.kent.ac.uk/44797/.

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We develop and analyze a model of optimal portfolio choice with a finite time horizon T. The investor's objective is to maximize the expected utility of terminal wealth based on partial information generated by stock prices. Rebalancing the portfolio composed of a stock and a bank account incurs transaction costs. This thesis extends the literature by examining the joint impact of partial information and transaction costs on investors' decisions and expected utilities. After estimating the uncertain drift from historical prices, an investor updates the estimate over [0, T] based on partial information. This investor learns about the drift with the Kalman-Bucy filter, which provides a statistically optimal estimate. Three regions of the state space with two free boundaries characterize the optimal portfolio strategy. A numerical algorithm using dynamic programming and a Markov chain approximation solves the model. The existing algorithm with known parameters is time consuming and liable to cause underflow or overflow of the range of values represented. We propose four improvements to overcome the drawbacks. The algorithm with modifications can be applied to the model under partial information according to the separation principle. We define two measures to quantify the losses in utility caused by partial information and transaction costs. Four quantities are introduced to describe investors' trading behaviours. With simulations of stock prices and the drift, the comparative analysis of five market parameters reveals the properties of the model and tests the robustness of the algorithm. Compared with the investors who use erroneous estimates of the drift, the learning investor's portfolio holdings are close to the informed investor's portfolio holdings. The average cost per transaction to the learning investor is the lowest. This investor has these benefits because the filter reduces uncertainty. We discuss the implications for practitioners to highlight the practical contributions of this research.

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Tien, Chih-Yuan. "Mixed stopping times and American options under transaction costs." Thesis, University of York, 2011. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.547377.

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Chryssikou, Efthalia 1971. "Multiperiod portfolio optimization in the presence of transaction costs." Thesis, Massachusetts Institute of Technology, 1998. http://hdl.handle.net/1721.1/9926.

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Myers, Jeremy D. (Jeremy Dale). "Portfolio optimization with transaction costs and preconceived portfolio weights." Thesis, Massachusetts Institute of Technology, 2009. http://hdl.handle.net/1721.1/61296.

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Thesis (M. Eng.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 2009.
Cataloged from PDF version of thesis.
Includes bibliographical references (p. 87-88).
In the financial world, many quantitative investment managers have developed sophisticated statistical techniques to generate signals about expected returns from previous market data. However, the manner in which they apply this information to rebalancing their portfolios is often ad-hoc, trading off between rebalancing their assets into an allocation that generates the greatest expected return based on the generated signals and the incurred transaction costs that the reallocation will require. In this thesis, we develop an approximation to our investor's true value function which incorporates both return predictability and transaction costs. By optimizing our approximate value function at each time step, we will generate a portfolio strategy that closely emulates the optimal portfolio strategy, which is based on the true value function. In order to determine the optimal set of parameters for our approximate function which will generate the best overall portfolio performance, we develop a simulation-based method. Our computational implementation is verified against well-known base cases. We determine the optimal parameters for our approximate function in the single stock and bond case. In addition, we determine a confidence level on our simulation results. Our approximate function gives us useful insight into the optimal portfolio allocation in complex higher dimensional cases. Our function derivation and simulation methodology extend easily to portfolio allocation in higher dimensional cases, and we implement the modifications required to run these simulations. Simple cases are tested and more complex tests are specified for testing when appropriate dedicated computing resources are available.
by Jeremy D. Myers.
M.Eng.

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Cantarutti, Nicola. "Option pricing in exponential Lévy models with transaction costs." Doctoral thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20786.

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Doutoramento em Matemática Aplicada à Economia e Gestão
In this thesis we present a new model for pricing European call options in presence of proportional transaction costs, when the stock price follows a general exponential Lévy process. The model is a generalization of the celebrated work of Davis, Panas and Zariphopoulou, where the value of the option is defined as the utility indifference price. This approach requires the solution of a stochastic singular control problem in finite time. We introduce the general formulation of the problem, and derive the associated Hamilton-Jacobi-Bellman equation (HJB), which is a nonlinear partial integro-differential equation, with the form of a variational inequality. We prove that the value function of the problem is a solution of the HJB equation in the viscosity sense. The original problem is then simplified for the specific case of the exponential utility function, under the assumption of absence of default for the investor's portfolio. We solve numerically the optimization problems using the Markov chain approximation method. We also apply the multinomial method to the Variance Gamma process, which is an alternative and more efficient approach to discretize the continuous time process. We provide a numerical scheme and prove that it is monotone, stable and consistent and that the solution converges to the viscosity solution of the original HJB equation. Several numerical solutions are presented for both the original problem and the simplified problem. Numerical results are obtained for the cases of diffusion, Merton and Variance Gamma processes. We provide convergence and time complexity analysis and comparisons with option prices computed using the standard martingale pricing theory.
info:eu-repo/semantics/publishedVersion

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Liu, Cong. "Asset allocation and portfolio optimization with small transaction costs." Thesis, Imperial College London, 2016. http://hdl.handle.net/10044/1/42774.

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This thesis is devoted to the asset allocation and portfolio optimization with small transaction costs. Three topics are studied. The first and second topics are on asset allocation problems with purely proportional transaction cost and strictly positive transaction cost, respectively. The fundamental objective is to keep the asset portfolio close to a target portfolio and in the meantime to reduce the trading cost in doing so. For each problem, we derive the quasi-variational inequality and prove a verification theorem giving sufficient conditions for a QVI solution to be the value function. The optimal strategy is a singular control in the first topic and an impulse control in the second. Furthermore, we provide a matrix exponential representation of the QVI solution for both problems and perform asymptotic analysis to characterize the optimal no transaction region when transaction costs are sufficiently small. Additionally, for both topics, we apply the asymptotic results for the boundary points and derive an expansion for the QVI solution, the optimality of which can be shown via verification theorem (up to leading orders). The third topic is on portfolio optimization with proportional transaction cost. We construct an efficient frontier problem (EFP) of maximizing expected terminal utility and minimizing terminal CVAR. We first solve the frictionless case by duality approach and nonsmooth analysis. For three representative utility functions, we obtain numerically the optimal trading strategy, optimal expected terminal utility and optimal CVAR. Our analysis of how these three quantities change with respect to different CVAR constraints provides flexibility for an investor to balance return and risk according to her own preference. We then include transaction cost to the EFP, which is equivalent to including transaction cost to a non-smooth utility maximization problem. Asymptotic analysis gives expansions for no transaction boundaries which are then applied to EFPs with different utility functions. This topic ends by numerical analysis on impact of introducing CVAR constraint and/or transaction cost for classical utility maximization problem.

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Krueger, Eric L. "A transaction costs explanation of inter-local government collaboration." Thesis, University of North Texas, 2005. https://digital.library.unt.edu/ark:/67531/metadc4862/.

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This study develops a model of collaboration choice among city governments. The theoretical model suggests that collaboration is a function of transaction costs that vary with different institutional arrangements utilized in cities, as well as the degree of competition between cities. This study argues that cities facing high transaction costs and high competition are less likely to participate in collaboration and to participate less deeply. Underlying these environmental factors are resource factors that create incentives for cities to collaborate for efficiency gains, which affect both the decision to collaboration and the depth of collaboration. Eleven hypotheses are presented to explain why cities choose to participate in collaboration in the first stage of the analysis and how deeply they collaborate in the second stage. Utilizing a Heckman model of this two-stage process, I find broad support for a number of variables that measure each of these theoretical constructs.

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Tran, Quoc-Tran. "Some contributions to financial market modelling with transaction costs." Thesis, Paris 9, 2014. http://www.theses.fr/2014PA090036/document.

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Cette thèse traite plusieurs problèmes qui se posent pour les marchés financiers avec coûts de transaction et se compose de quatre parties.On commence, dans la première partie, par une étude du problème de couverture approximative d’une option Européenne pour des marchés de volatilité locale avec coûts de transaction proportionnelles.Dans la seconde partie, on considère le problème de l’optimisation de consommation dans le modèle de Kabanov, lorsque les prix sont conduits par un processus de Lévy.Dans la troisième partie, on propose un modèle général incluant le cas de coûts fixes et coûts proportionnels. En introduisant la notion de fonction liquidative, on étudie le problème de sur-réplication d’une option et plusieurs types d’opportunités d’arbitrage.La dernière partie est consacrée à l’étude du problème de maximisation de l’utilité de la richesse terminale d’une portefeuille sous contraintes de risque
This thesis deals with different problems related to markets with transaction costs and is composed of four parts.In part I, we begin with the study of assymptotic hedging a European option in a local volatility model with bid-ask spread.In part II, we study the optimal consumption problem in a Kabanov model with jumps and with default risk allowed.In part III, we sugest a general market model defined by a liquidation procès. This model is more general than the models with both fixed and proportional transaction costs. We study the problem of super-hedging an option, and the arbitrage theory in this model.In the last part, we study the utility maximization problem under expected risk constraint

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Asumeng-Denteh, Emmanuel. "Transaction costs and resampling in mean-variance portfolio optimization." Link to electronic thesis, 2004. http://www.wpi.edu/Pubs/ETD/Available/etd-0430104-123456/.

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Grandits, Peter, and Werner Schachinger. "Leland's approach to option pricing. The evolution of a discontinuity." SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, 1999. http://epub.wu.ac.at/1448/1/document.pdf.

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A claim of Leland (1985) states that in the presence of transaction costs a call option on a stock S, described by geometric Brownian motion, can be perfectly hedged using Black-Scholes delta hedging with a modified volatility. Recently Kabanov and Safarian (1997) disproved this claim, giving an explicit (up to an integral) expression of the limiting hedging error, which appears to be strictly negative and depends on the path of the stock price only via the stock price at expiry ST . We prove in this paper that the limiting hedging error, considered as a function of ST, exhibits a removable discontinuity at the exercise price. Furthermore, we provide a quantitative result describing the evolution of the discontinuity, which shows that its precursors can very well be observed also in cases of reasonable length of revision intervals. (author's abstract)
Series: Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

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Zhang, Zhenyu. "An economic interpretation of construction procurement behaviour for the commercial and industrial buildings." Thesis, University College London (University of London), 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.396205.

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Marchbanks, Miner Peek III. "A transaction cost approach to unilateral presidential action." Texas A&M University, 2005. http://hdl.handle.net/1969.1/3127.

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Presidents have two major assets at their disposal when seeking to alter policy: executive orders and legislative action. There are certain advantages and disadvantages to each course. Although presidency scholars have focused extensively on presidential efforts in the legislative arena, little attention has been paid to how a president affects policy through direct action. Because executive orders have been under-researched, there has been a dearth of theory development that adequately explains when presidents will act unilaterally through executive orders and when they will instead seek legislative avenues to policy change. This project develops a parsimonious theory grounded in the transaction costs framework that explains how a president chooses between seeking congressional action versus acting unilaterally through executive orders to accomplish policy change. The theory holds that when presidents desire policy change, they balance the transaction costs executive orders and legislative action present, selecting the course that presents the greatest benefit after accounting for the transaction costs present. After outlining the theory, I test my predictions using an original data set. Each executive order from 1946 to 2004 was read and examined for policy content. Unlike most prior studies of presidential use of executive orders, this study only includes orders that affect policy in the data analyses. The series of empirical tests provide support for my theory: Presidents consider the transaction costs that executive orders and the pursuit of legislation pose and take the action that maximizes their utility when seeking policy change

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41

Olsson, Rickard. "Portfolio management under transaction costs : model development and Swedish evidence /." Doctoral thesis, Umeå : Umeå School of Business, Umeå University, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-632.

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42

Klaes, Matthias. "The emergence of transaction costs in economics : a conceptual history." Thesis, University of Edinburgh, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.527682.

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43

Islamoglu, Mehmet. "Information technology, transaction costs and governance structures : an institutional approach." Thesis, London School of Economics and Political Science (University of London), 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.402133.

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44

Gullberg, Daniel. "Optimal trading with transaction costs using a PMP gradient method." Thesis, KTH, Optimeringslära och systemteori, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-188811.

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This thesis considers a portfolio optimization problem with linear transaction costs, as interpreted by Ampfield Aktiebolag, and analyses it by using a gradient method based on Pontryagin's maximum principle (PMP). First the problem is outlined and afterwards it turns out that a gradient PMP method is easy to employ and gives reasonable solutions. As with many gradient methods the convergence is very slow, but a good estimate could possibly be found in sub-second time with the right implementation and computer. The strength of the method is the good complexity, linear in the number of time steps and quadratic in the number of dimensions for each iteration. This is compared with quadratic and dynamic programming which have polynomial and exponential complexity respectively. The main weakness, apart from slow convergence, lies in the assumptions that have to be made. All functions, such as the volatility and transaction costs, are considered to only depend on time, not the transactions made. Using the method in this thesis on a more realistic problem would be difficult, why the PMP gradient method is most suited for a preliminary analysis of the problem.
Detta examensarbete analyserar ett portföljoptimeringsproblem med linjära transaktionskostnader, såsom det är tolkat av Ampfield Aktiebolag, med hjälp av en gradient metod baserad på Pontryagins maximumprincip, eller PMP. Först presenteras problemet och efteråt visar det sig att en gradientmetod är enkel att applicera och ger rimliga lösningar. Som för många gradientmetoder är konvergensen väldigt långsam, men en rimlig approximation kan möjligen hittas på under en sekund med rätt realisation och dator. Styrkan hos metoden är den goda komplexiteten, linjär i antalet tidssteg och kvadratisk i antalet dimensioner per iteration. Detta jämförs med kvadratisk och dynamisk programmering, som respektive har polynomiell och exponentiell komplexitet. Den största svagheten, förutom långsam konvergens, ligger i antagandena som måste göras. Alla funktioner, såsom volatiliteten och transaktionskostnaderna, antas bara bero på tiden, inte transaktionerna som gjorts. Att använda metoden i detta arbete på ett mer realistiskt problem skulle vara svårt, varför gradientmetoden lämpar sig bäst för en preliminär analys av problemet.

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45

Reinke, Jens. "Group solidarity and transaction costs : micro-credit in South Africa." Thesis, London School of Economics and Political Science (University of London), 1998. http://etheses.lse.ac.uk/2242/.

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This thesis analyses alternative models for the provision of micro-credit, with a particular focus on the role of solidarity. It produces a critique of the lending model developed by the Grameen Bank and copied in many parts of the world. The critique focuses on the claim that such schemes are well suited for delivering micro-credit in a sustainable, ie self-financing manner. I argue group solidarity is not an essential component of successful micro-credit schemes, and that lending to individuals can be at least as efficient. I argue that solidarity groups do not perform economic exchange on the basis of ad hoc contracts, as existing literature implies. Rather, solidarity groups are institutions; as such, they are costly. Groups, therefore, require resource input from their members as well as regulations. These findings are shown to be relevant both for informal rotating savings and credit associations (ROSCAs) and solidarity groups of formal micro-lenders. A case study of a South African, Grameen-type lender illustrates that the staff- intensive group interaction implies a cost structure that cannot be supported by the interest income from its micro-credit portfolio. A second case study of a microlender giving credit to individuals finds that sustainability has been achieved with innovative lending technology. Self-selection and cost-saving measures are shown to be effective. The importance of innovation, finding its expression in reduced unit costs rather than enhanced solidarity, leads to a particular perspective on micro-finance: rather than viewing micro-finance as an issue for donor-funded, isolated development projects, micro-finance is seen as part of the financial system. The thesis concludes by pointing out that these findings may be relevant in other fields of development practice. Participatory project design involves costs, not only in micro-credit. However, such costs depend on the specific social environment and may well be justified if they contribute to desirable social processes which are not adequately captured by criteria of self-sustainability.

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46

Mukadi, Basala. "Impact of transaction costs on intra Southern African migrants remittances." Master's thesis, University of Cape Town, 2016. http://hdl.handle.net/11427/28980.

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The average charges of officially transferring remittances from South Africa to other Southern African countries have been regarded as expensive compared to other main corridor of south-south remittance, and this has long been recognized as a major drain on the income of migrants and their households. Using data gathered across the SADC countries remittances corridors, this research explored the factors that account for the high costs of officially transferring remittances from South Africa to the SADC region. The average costs were regressed across all types of regulated financial institutions and money transfer operators with the following financial and macroeconomic variables: Real GDP per Capita, Dual exchange rates dummy, exchange rates, dollarization dummy, stock of migrants, volume of remittances, Exchange Control Restrictiveness Index, and the bank concentration. The study found that the main factors explaining the high costs of officially transferring remittances from South Africa to the SADC region were the bank concentration, exchange rate volatility, and the exchange control restrictiveness index. These findings suggest that the costs of officially transferring remittances from South Africa to the SADC region could be lowered by policies to increase competition among South African financial institutions and money transfer service providers, to reduce the country's exchange rate volatility, and to reduce the regulatory barriers that restrict financial services to migrants with non-South African identity documents.

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Ferreira, Alexandre Rezende. "On the performance of portfolio selection under increasing transaction costs." reponame:Repositório Institucional da UFSC, 2016. https://repositorio.ufsc.br/xmlui/handle/123456789/167687.

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Dissertação (mestrado) - Universidade Federal de Santa Catarina, Centro Sócio-Econômico, Programa de Pós-Graduação em Economia, Florianópolis, 2016.
Made available in DSpace on 2016-09-20T04:10:44Z (GMT). No. of bitstreams: 1 340645.pdf: 1079394 bytes, checksum: 2903b3f88ff2a27db050c3054b673ce4 (MD5) Previous issue date: 2016
Abstract : Two crucial aspects to the problem of investment portfolio selection are the specification of the model for expected returns and its covariances, as well as the choice of the investment policy to be adopted. This dissertation empirically shows that these two aspects are intrinsically attached to the impact due to transaction costs. In order to do that, we implemented 11 diffferent models of covariances to generate a set of 17 portfolio selection policies in a sample composed by the 50 most traded stocks of the S&P100 index from 01/2004 to 01/2014. The performance of those portfolios was evaluated based on diffferent methods and considering the impact of alternative levels of proportional transaction costs. The results indicated that GARCH-type conditional covariances show superior results when compared to the ones obtained with static models only when the level of transaction cost is lower than 10 basis points. Besides, portfolio policies that ignore the covariance structure such as the ones proposed in Kirby & Ostdiek (2012) are more robust specially in scenarios with higher transaction costs. When instead we select the best performing policy each period through a dynamic model selection, we manage to increase the risk adjusted returns to transaction costs as high as 30 basis points.
Dois aspectos cruciais do problema de seleção de portfólio para investimento são a especificação do modelo para os retornos esperados e suas covariâncias, assim como a escolha da política de investimento a ser adotada. Esta dissertação empiricamente mostra que esses dois aspectos estão intrínsicamente associados ao impacto dos custos de transação. Para tanto, nós implementamos 11 modelos diferentes de covariancias para gerar um conjunto de 17 políticas de seleção de portfólio em uma amostra composta pelas 50 ações mais negociadas do índice S&P100 entre 01/2004 e 01/2014. A performance destes portfólios foi avaliada com base em diferentes métodos e considerando o impacto de nívels alternativos de custos de transação proporcionais. Os resultados indicaram que modelos do tipo GARCH de covariâncias condicionais exibiram resultados superiores quando comparados com os obtidos com modelos estáticos apenas quando o nível do custo de transação era inferior a 10 pontos base. Além disso, politicas de seleção de portfólio que ignoram a estrutura das covariâncias como as propostas por Kirby & Ostdiek (2012) são mais robustas especialmente em cenários com custos de transação mais altos. Quando selecionamos a política com melhor performance a cada período através de uma stratégia de seleção dinâmica de modelos, nós conseguimos aumentar os retornos ajustados ao risco para custos de transação tão altos quanto 30 pontos base.

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48

Hautsch, Nikolaus, and Stefan Voigt. "Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty." Elsevier, 2019. http://epub.wu.ac.at/6447/1/1709.06296.pdf.

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We theoretically and empirically study portfolio optimization under transaction costs and establish a link between turnover penalization and covariance shrinkage with the penalization governed by transaction costs. We show how the ex ante incorporation of transaction costs shifts optimal portfolios towards regularized versions of efficient allocations. The regulatory effect of transaction costs is studied in an econometric setting incorporating parameter uncertainty and optimally combining predictive distributions resulting from high-frequency and low-frequency data. In an extensive empirical study, we illustrate that turnover penalization is more effective than commonly employed shrinkage methods and is crucial in order to construct empirically well-performing portfolios.

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49

Angkola, Francisca. "A generalized fractal dynamics option pricing model with transaction costs." Thesis, Curtin University, 2016. http://hdl.handle.net/20.500.11937/56426.

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Since the introduction of classical Black-Scholes model, option pricing is an area which has been studied by many researchers worldwide with the prospect to develop a better, more realistic model than the existing ones. We improve the existing model to capture long memory in the financial market by considering generalized fractal dynamics and transaction costs. The influences and relevance of various additional parameters on the real financial market are also investigated in this work.

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50

Treloar, Richard Eric. "Optimising and controlling execution costs of block trading." Thesis, University of Portsmouth, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.326994.

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Dissertations / Theses on the topic 'Transaction costs'

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