ON AN UPPER GAIN BOUND FOR STRATEGIES WITH CONSTANT AND PROPORTIONAL NUMBER OF ASSETS TRADED.

Main Article Content

Rafał Łochowski


Abstrakt
We introduce general formulas for the upper bound of gain obtained from any finite-time trading strategy in discrete and continuous time models. We consider strategies with constant number of assets traded and strategies with proportional number of assets traded. Unfortunately, the estimates obtained in the discrete case become trivial in the continuous case, hence we introduce transaction costs. This leads to the interesting estimates in terms of the so called truncated variation of the price series. We apply the obtained estimates in specific cases of financial time series.

Article Details

Jak cytować
Łochowski, R. (2013). ON AN UPPER GAIN BOUND FOR STRATEGIES WITH CONSTANT AND PROPORTIONAL NUMBER OF ASSETS TRADED. Metody Ilościowe W Badaniach Ekonomicznych, 14(2), 29–38. Pobrano z https://qme.sggw.edu.pl/article/view/3605
Statystyki

Downloads

Download data is not yet available.