A note on constant proportion trading strategies
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Cites work
- scientific article; zbMATH DE number 3179081 (Why is no real title available?)
- scientific article; zbMATH DE number 107482 (Why is no real title available?)
- scientific article; zbMATH DE number 2119185 (Why is no real title available?)
- Evaluating Portfolio Policies: A Duality Approach
- Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions
- Optimum consumption and portfolio rules in a continuous-time model
- Path-dependence of leveraged ETF returns
- The dual approach to portfolio evaluation: a comparison of the static, myopic and generalized buy-and-hold strategies
- The minimum variance hedge ratio under stochastic interest rates
- The proportional bettor's return on investment
- The return on investment from proportional portfolio strategies
- Universal Portfolios
Cited in
(6)- Consistent Pricing of Options on Leveraged ETFs
- The price of liquidity in constant leverage strategies
- Implied volatility of leveraged ETF options
- An optimisation approach to constructing an exchange-traded fund
- Admissible investment strategies in continuous trading
- FROM RAGS TO RICHES: ON CONSTANT PROPORTIONS INVESTMENT STRATEGIES
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