A note on constant proportion trading strategies

Author:

Haugh Martin B.

Publisher

Elsevier BV

Subject

Applied Mathematics,Industrial and Manufacturing Engineering,Management Science and Operations Research,Software

Reference28 articles.

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2. Leveraged ETFs: all you wanted to know but were afraid to ask;Avellaneda;Risk Professional,2010

3. S. Basak, G. Chabakauri, Dynamic hedging in incomplete markets: a simple solution, Working paper, London Business School, 2008.

4. L. Breiman, Optimal gambling systems for favorable games, in: Proceedings of the Berkeley Symposium on Mathematical Statistics and Probability, vol. 1, 1961, pp. 65–78.

5. The effect of asymmetries on optimal hedge ratios;Brooks;Journal of Business,2002

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1. Leveraged Exchange-Traded Funds with Market Closure and Frictions;Management Science;2023-04

2. The price-volume relationship caused by asset allocation based on Kelly criterion;Physica A: Statistical Mechanics and its Applications;2018-08

3. Consistent Pricing of Options on Leveraged ETFs;SIAM Journal on Financial Mathematics;2015-01

4. Implied Volatility of Leveraged ETF Options;Applied Mathematical Finance;2014-11-20

5. An optimisation approach to constructing an exchange-traded fund;Optimization Letters;2014-08-14

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