Brennan, Michael J. (contributor); Xia, Yihong (contributor) - 2000 - [Elektronische Ressource]
trading strategy is a
process x which specifies the proportion of wealth invested in each security and is adapted to
F
1
.
15 … financed by a feasible trading strategy with initial investment W
0
where x is a (3×1) vector of proportional wealth … allocations to the stock, and two nominal
bonds, 1−x
prime
i denotes the proportional wealth invested in (nominal) cash, and …