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

zbMATH Open1386.91004MaRDI QIDQ4605973FDOQ4605973

Authors: Andreas Hermes 

Publication date: 28 February 2018

Full work available at URL: http://d-nb.info/1130871681/34

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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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