IDEAS home Printed from https://ideas.repec.org/a/taf/apmtfi/v30y2023i5p231-248.html
   My bibliography  Save this article

Buy and Hold Golden Strategies in Financial Markets with Frictions and Depth Constraints

Author

Listed:
  • Alejandro Balbás
  • Beatriz Balbás
  • Raquel Balbás

Abstract

This paper deals with coherent risk measures and golden strategies, that is, financial portfolios (or financial strategies) with a negative risk and a non positive price. Golden strategies are important because they enable us to outperform every portfolio in a return/risk approach. In fact, every portfolio of securities is beaten by adding the golden strategy, i.e., the portfolio plus the golden strategy is better than the portfolio alone. Computationally tractable algorithms will be presented, and the general framework will be very realistic. Indeed, the study will incorporate all the classical frictions provoked by the order book of a financial market, and it will be both buy-and-hold and model-free. Numerical experiments involving derivative markets will be analysed.

Suggested Citation

  • Alejandro Balbás & Beatriz Balbás & Raquel Balbás, 2023. "Buy and Hold Golden Strategies in Financial Markets with Frictions and Depth Constraints," Applied Mathematical Finance, Taylor & Francis Journals, vol. 30(5), pages 231-248, September.
    • Handle: RePEc:taf:apmtfi:v:30:y:2023:i:5:p:231-248
    DOI: 10.1080/1350486X.2024.2320339
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1350486X.2024.2320339
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1350486X.2024.2320339?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apmtfi:v:30:y:2023:i:5:p:231-248. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAMF20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.