A note on constant proportion trading strategies
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Publication:635503
DOI10.1016/j.orl.2011.03.005zbMath1219.91058OpenAlexW3125879832MaRDI QIDQ635503
Publication date: 19 August 2011
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2011.03.005
Derivative securities (option pricing, hedging, etc.) (91G20) Auctions, bargaining, bidding and selling, and other market models (91B26)
Related Items (3)
Consistent Pricing of Options on Leveraged ETFs ⋮ Implied Volatility of Leveraged ETF Options ⋮ An optimisation approach to constructing an exchange-traded fund
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- Evaluating Portfolio Policies: A Duality Approach
- Path-Dependence of Leveraged ETF Returns
- Universal Portfolios
- The return on investment from proportional portfolio strategies
- Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions
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