Optimal portfolio selection with volatility information for a high frequency rebalancing algorithm
Year of publication: |
2024
|
---|---|
Authors: | Bağcı, Mahmut ; Soylu, Pınar Kaya |
Published in: |
Financial innovation : FIN. - Heidelberg : SpringerOpen, ISSN 2199-4730, ZDB-ID 2824759-0. - Vol. 10.2024, Art.-No. 107, p. 1-28
|
Subject: | Algorithmic trading | Pair trading | Rebalancing algorithm | Crypto-assets | Volatility | Cointegration | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Portfolio-Management | Portfolio selection | Volatilität | Algorithmus | Algorithm | Elektronisches Handelssystem | Electronic trading |
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