A note on constant proportion trading strategies
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Publication:635503
DOI10.1016/J.ORL.2011.03.005zbMATH Open1219.91058OpenAlexW3125879832MaRDI QIDQ635503FDOQ635503
Authors: Martin B. Haugh 
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
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Cites Work
- Title not available (Why is that?)
- Optimum consumption and portfolio rules in a continuous-time model
- Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions
- Universal Portfolios
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- Title not available (Why is that?)
- The return on investment from proportional portfolio strategies
- Path-dependence of leveraged ETF returns
- Evaluating Portfolio Policies: A Duality Approach
- The dual approach to portfolio evaluation: a comparison of the static, myopic and generalized buy-and-hold strategies
- The proportional bettor's return on investment
- The minimum variance hedge ratio under stochastic interest rates
Cited In (6)
- The price of liquidity in constant leverage strategies
- Implied Volatility of Leveraged ETF Options
- An optimisation approach to constructing an exchange-traded fund
- Consistent Pricing of Options on Leveraged ETFs
- FROM RAGS TO RICHES: ON CONSTANT PROPORTIONS INVESTMENT STRATEGIES
- Admissible investment strategies in continuous trading
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