Dissertations / Theses on the topic '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.
Full textElfarra, 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.
Full textNisol, Gilles. "Option pricing with transaction costs." Thesis, KTH, Matematik (Inst.), 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-102780.
Full textPanas, Vassilios Gerassimos. "Option pricing with transaction costs." Thesis, Imperial College London, 1993. http://hdl.handle.net/10044/1/7362.
Full textWhalley, A. E. "Option pricing with transaction costs." Thesis, University of Oxford, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.298265.
Full textNorman, Andrew R. "Portfolio selection with transaction costs." Thesis, Imperial College London, 1988. http://hdl.handle.net/10044/1/11848.
Full textBiggs, Carl T. "Implications of transaction costs for acquisition program cost breaches." Monterey, California. Naval Postgraduate School, 2013. http://hdl.handle.net/10945/34629.
Full textIt 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.
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.
Full textGodwin, 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.
Full textTitle 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.
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/.
Full textSolis-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.
Potaptchik, Marina. "Portfolio Selection Under Nonsmooth Convex Transaction Costs." Thesis, University of Waterloo, 2006. http://hdl.handle.net/10012/2940.
Full textDue 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.
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.
Full textCai, Rong. "Trust and Transaction Costs in Industrial Districts." Virginia Tech, 2004. http://hdl.handle.net/10919/9948.
Full textMaster of Urban and Regional Planning
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.
Full textZhu, Yedi. "Invesment-consumption model with infinite transaction costs." Thesis, University of Warwick, 2014. http://wrap.warwick.ac.uk/67811/.
Full textLi, Wei. "Optimal market timing strategies under transaction costs." HKBU Institutional Repository, 1999. http://repository.hkbu.edu.hk/etd_ra/164.
Full textMarkeprand, 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.
Full textLi, 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.
Full textLi, 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.
Full textYue, Chengyan. "Three essays on food quality and transaction costs." [Ames, Iowa : Iowa State University], 2006.
Find full textZhou, 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.
Full textO'Kelly, Glen James. "Forest-mill Integration from a Transaction Costs Perspective." Thesis, University of Canterbury. Forestry, 2008. http://hdl.handle.net/10092/1257.
Full textLi, 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.
Full textRoux, 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.
Full textEvanchik, Michael A. "A transaction cost analysis of defense contracting /." Thesis, Connect to this title online; UW restricted, 1989. http://hdl.handle.net/1773/8724.
Full textOrr, 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/.
Full textTokarz, 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.
Full textWang, Huamao. "Optimal portfolio choice under partial information and transaction costs." Thesis, University of Leeds, 2011. http://kar.kent.ac.uk/44797/.
Full textTien, 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.
Full textChryssikou, Efthalia 1971. "Multiperiod portfolio optimization in the presence of transaction costs." Thesis, Massachusetts Institute of Technology, 1998. http://hdl.handle.net/1721.1/9926.
Full textMyers, 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.
Full textCataloged 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.
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.
Full textIn 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
Liu, Cong. "Asset allocation and portfolio optimization with small transaction costs." Thesis, Imperial College London, 2016. http://hdl.handle.net/10044/1/42774.
Full textKrueger, 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/.
Full textTran, Quoc-Tran. "Some contributions to financial market modelling with transaction costs." Thesis, Paris 9, 2014. http://www.theses.fr/2014PA090036/document.
Full textThis 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
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/.
Full textGrandits, 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.
Full textSeries: Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science"
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.
Full textMarchbanks, Miner Peek III. "A transaction cost approach to unilateral presidential action." Texas A&M University, 2005. http://hdl.handle.net/1969.1/3127.
Full textOlsson, 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.
Full textKlaes, 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.
Full textIslamoglu, 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.
Full textGullberg, 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.
Full textDetta 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.
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/.
Full textMukadi, 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.
Full textFerreira, 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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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.
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.
Full textAngkola, Francisca. "A generalized fractal dynamics option pricing model with transaction costs." Thesis, Curtin University, 2016. http://hdl.handle.net/20.500.11937/56426.
Full textTreloar, 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.
Full text