This article is a supplement of the author's paper (Ishizuchi [2009] ), and two relevant issues are reviewed. The first is on the performance indices of trade. In the paper, it is assumed we can use short selling with at most one-to-one leverage ratio, and trading performance is mainly measured by total return. Ratio or total selling price to total buying price is used as a performance index in the paper, but it is not necessarily consistent with total return because of the leverage constraint. The second is on portfolio selection. In the paper, a portfolio is composed according to the traditional mean-variance theory, while many traders supposedly see their growth of asset as a major matter. We will briefly look at a portfolio with respect to growth.
補遺 : 株式売買における統計的裁定のパフォーマンス
no31_07
(9.91MB)
