Loss-minimal Algorithmic Trading Based on Levy Processes
In this paper we optimize portfolios assuming that the value of the portfolio follows a Lévy process. First we identify the parameters of the underlying Lévy process and then portfolio optimization is performed by maximizing the probability of positive return. The method has been tested by extensive...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
UIKTEN
2014-08-01
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| Series: | TEM Journal |
| Subjects: | |
| Online Access: | http://www.temjournal.com/documents/vol3no3/Loss-minimal%20Algorithmic%20Trading%20Based%20on%20Levy%20Processes.pdf |