An Inter Temporal Model for Investment Management

Cover An Inter Temporal Model for Investment Management
An Inter Temporal Model for Investment Management
G a Gerald a Pogue
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= the number of shares of security 1 which corresponds J to a specified fraction 6. - of the normal trading volume of security i. X.. Defines the upper limit of the j purchase segment of the cost curve, x.. = the number of shares of security i purchased in the j linear segment of the cost curve during period t.
t+ X. = the total number of shares of security i purchased I during period t tH Similar quantitites can be defined for the sales segments of the trans- actions ' cost curve.
We can now d
...efine the number of shares of security i traded in terms of purchases or sales in the linear segments of the cost curve.
The number of shares of security i traded at period t = X. (t/T) - X. (t - 1/t) t+ t- = X. - X.
1 1 1. It is assumed that the cost per dollar of purchases, for transactions that occur between a fraction 5-j_i; and a fraction ot; of the period t trading volume, are incurred at a constant rate, ^ c...
- 19 - The transactions ' costs incurred m+ m- Et+ t+, V^ t- t- r.. X.. + > r..


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