Asset Trading in a Portfolio
by
Chandra Gulati
School of Mathematics and Applied Statistics, University of Wollongong, NSW, 2522, Australia
Coauthors: Yan-Xia Lin, Michael McCrae

Consider a person wishing to sell an asset, say shares. This decision to sell may be due to the fact that the asset is no longer required, or, it may be due to the expectation that it can be purchased back later at a lower price. Similarly, a decision to purchase an asset may be made with the expectation of either to hold on to the asset or with the expectation to sell later at a higher price. A person with a portfolio of assets is faced with the decision whether to buy an additional asset, or to sell an asset or to switch assets (buy one and sell another). Some strategies considered in the literature in answering such questions are reviewed.

Date received: September 10, 2003