Leakage of rank-dependent functionally generated trading strategies
Year of publication: |
2020
|
---|---|
Authors: | Xie, Kangjianan |
Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 16.2020, 4, p. 573-591
|
Subject: | Additive generation | Leakage effect | Multiplicative generation | Portfolio analysis | Rank-dependent portfolio generating function | Stochastic portfolio theory | Theorie | Theory | Portfolio-Management | Portfolio selection | Generationengerechtigkeit | Intergenerational equity |
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