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Efficient Computation of Optimal Trading Strategies
Efficient Computation Optimal Trading Strategies
2010/10/21
Given the return series for a set of instruments, a \emph{trading strategy} is a switching function that transfers wealth from one instrument to another at specified times. We present efficient algor...
Statistical Arbitrage and Optimal Trading with Transaction Costs in Futures Markets
Statistical Arbitrage Optimal Trading Transaction Costs Futures Markets
2010/12/13
We consider the Brownian market model and the problem of expected utility maximization of terminal wealth. We, specifically, examine the problem of maximizing the utility of terminal wealth under the ...