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Models for bundle trading in financial markets

โœ Scribed by Jawad Abrache; Teodor Gabriel Crainic; Michel Gendreau

Book ID
108116686
Publisher
Elsevier Science
Year
2005
Tongue
English
Weight
384 KB
Volume
160
Category
Article
ISSN
0377-2217

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In this paper we show that optimal trading results can be achieved if we can forecast a key summary statistic of future prices. Consider the following optimization problem. Let the return r i (over time i 1, 2, . . . , n) for the ith day be given and the investor has to make investment decision d i