Leakage of rank-dependent functionally generated trading strategies
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DOI: 10.1007/s10436-020-00364-2
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References listed on IDEAS
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Cited by:
- Steven Campbell & Qien Song & Ting-Kam Leonard Wong, 2024. "Macroscopic properties of equity markets: stylized facts and portfolio performance," Papers 2409.10859, arXiv.org, revised Oct 2024.
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More about this item
Keywords
Additive generation; Leakage effect; Multiplicative generation; Portfolio analysis; Rank-dependent portfolio generating function; Stochastic portfolio theory;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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