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Leakage of rank-dependent functionally generated trading strategies

Xie, K; (2020) Leakage of rank-dependent functionally generated trading strategies. Annals of Finance 10.1007/s10436-020-00364-2. (In press). Green open access

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Type: Article
Title: Leakage of rank-dependent functionally generated trading strategies
Open access status: An open access version is available from UCL Discovery
DOI: 10.1007/s10436-020-00364-2
Publisher version: https://doi.org/10.1007/s10436-020-00364-2
Language: English
Additional information: © The Author(s) 2020. This article is licensed under a Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/).
Keywords: Additive generation, Leakage effect, Multiplicative generation Portfolio analysis, Rank-dependent portfolio generating function, Stochastic portfolio theory
UCL classification: UCL
UCL > Provost and Vice Provost Offices
UCL > Provost and Vice Provost Offices > UCL BEAMS
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences > Dept of Mathematics
URI: https://discovery.ucl.ac.uk/id/eprint/10108381
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