Leakage of rank-dependent functionally generated trading strategies

DOI10.1007/s10436-020-00364-2zbMath1461.91285arXiv1912.04221OpenAlexW3015912485MaRDI QIDQ2022938

Kangjianan Xie

Publication date: 3 May 2021

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1912.04221

zbMATH Keywords

stochastic portfolio theoryportfolio analysisleakage effectadditive generationmultiplicative generationrank-dependent portfolio generating function

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (1)

Functional Portfolio Optimization in Stochastic Portfolio Theory

Cites Work

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• Equity portfolios generated by functions of ranked market weights

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