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A network model for foreign exchange arbitrage, hedging and speculation

Jones, C. Kenneth - In: International journal of theoretical and applied finance 4 (2001) 6, pp. 837-852

Persistent link: https://www.econbiz.de/10001632641

Fixed trading costs, signal processing and stochastic portfolio networks

Jones, C. Kenneth - In: European journal of industrial engineering : EJIE 1 (2007) 1, pp. 5-21

Persistent link: https://www.econbiz.de/10003787387

Portfolio size in stochastic portfolio networks using digital portfolio theory

Jones, C. Kenneth - In: Journal of mathematical finance 3 (2013) 2, pp. 280-290

Persistent link: https://www.econbiz.de/10010239568

Mean-reversion risk and the random walk hypothesis

Jones, C. Kenneth - In: Review of financial economics : RFE 41 (2023) 4, pp. 493-516

Persistent link: https://www.econbiz.de/10014431296

Fixed trading costs, signal processing and stochastic portfolio networks

Jones, C. Kenneth - In: European journal of industrial engineering : EJIE 1 (2007) 1, pp. 5-21

Persistent link: https://www.econbiz.de/10009882491

Fixed trading costs, signal processing and stochastic portfolio networks

Jones, C. Kenneth - In: European Journal of Industrial Engineering 1 (2007) 1, pp. 5-21

In this study, we use zero-one variables to control fixed transaction costs independent of trade size in the portfolio selection problem. The optimal solution to the maximum flow, risk constrained stochastic portfolio network is found using Digital Portfolio Theory (DPT). Digital signals...

Persistent link: https://www.econbiz.de/10008563634

Fixed trading costs, signal processing and stochastic portfolio networks

Jones, C. Kenneth - In: European Journal of Industrial Engineering 1 (2007) 1, pp. 5-21

Persistent link: https://www.econbiz.de/10005553171