Transaction Costs of Factor-Investing Strategies
نویسندگان
چکیده
منابع مشابه
Admissible Trading Strategies under Transaction Costs
A well known result in stochastic analysis reads as follows: for an R-valued super-martingale X = (Xt)0≤t≤T such that the terminal value XT is non-negative, we have that the entire process X is nonnegative. An analogous result holds true in the no arbitrage theory of mathematical finance: under the assumption of no arbitrage, a portfolio process x + (H · S) verifying x + (H · S)T ≥ 0 also satis...
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ژورنال
عنوان ژورنال: Financial Analysts Journal
سال: 2019
ISSN: 0015-198X,1938-3312
DOI: 10.1080/0015198x.2019.1567190