A mathematical approach to fractional trading: using the terminal wealth relative with discrete and continuous distributions

MaRDI QIDQ4605973zbMATH OpenFDO

Authors Andreas Hermes

Publication date 28 February 2018

Full work available at URL http://d-nb.info/1130871681/34, http://publications.rwth-aachen.de/record/680776

zbMATH Keywords

multivariateunivariatefractional tradingterminal wealth relative (TWR)

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

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