A note on constant proportion trading strategies

DOI10.1016/j.orl.2011.03.005zbMath1219.91058OpenAlexW3125879832MaRDI QIDQ635503

Martin B. Haugh

Publication date: 19 August 2011

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2011.03.005

zbMATH Keywords

constant proportion trading strategyleveraged ETF

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items

Consistent Pricing of Options on Leveraged ETFs, Implied Volatility of Leveraged ETF Options, An optimisation approach to constructing an exchange-traded fund

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