Empirical Study of Trading Strategies Generated by Lyapunov Functions
碩士 === 國立交通大學 === 應用數學系數學建模與科學計算碩士班 === 105 === E.R Fernholz introduced the construction of a certain class of portfolios,which is known as "functionally-generated" portfolios,in 1999. Karatzas & Ruf(2016) consider a special class of generating functions, Lyapunov functions. In the pap...
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| Format: | Others |
| Language: | en_US |
| Published: |
2017
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| Online Access: | http://ndltd.ncl.edu.tw/handle/39ww95 |