- Tytuł:
- ON AN UPPER GAIN BOUND FOR STRATEGIES WITH CONSTANT AND PROPORTIONAL NUMBER OF ASSETS TRADED
- Autorzy:
- Łochowski, Rafał
- Powiązania:
- https://bibliotekanauki.pl/articles/453150.pdf
- Data publikacji:
- 2013
- Wydawca:
- Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
- Tematy:
-
trading strategy
transaction costs
truncated variation
AR(1) process
Wiener process
Ornstein-Uhlenbeck process
random walk
the Black-Scholes model - Opis:
- 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.
- Źródło:
-
Metody Ilościowe w Badaniach Ekonomicznych; 2013, 14, 2; 29-38
2082-792X - Pojawia się w:
- Metody Ilościowe w Badaniach Ekonomicznych
- Dostawca treści:
- Biblioteka Nauki
Artykuł