Leakage of rank-dependent functionally generated trading strategies (Q2022938): Difference between revisions

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+.04221
@@ Property / arXiv ID: 1912.04221 / rank @@
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+Atlas models of equity markets
@@ Property / cites work: Atlas models of equity markets / rank @@
+Normal rank
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+Local times of ranked continuous semimartingales
@@ Property / cites work: Local times of ranked continuous semimartingales / rank @@
+Normal rank
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+Q4531968
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+Normal rank
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+Equity portfolios generated by functions of ranked market weights
+Normal rank
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+A second-order stock market model
@@ Property / cites work: A second-order stock market model / rank @@
+Normal rank
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+Stochastic Portfolio Theory: an Overview
@@ Property / cites work: Stochastic Portfolio Theory: an Overview / rank @@
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+Trading strategies generated by Lyapunov functions
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+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
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+Generalised Lyapunov Functions and Functionally Generated Trading Strategies
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+The Impact of Proportional Transaction Costs on Systematically Generated Portfolios
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+Model-Free Portfolio Theory and Its Functional Master Formula
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+Generalizations of Functionally Generated Portfolios with Applications to Statistical Arbitrage
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