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補遺 : 株式売買における統計的裁定のパフォーマンス
https://doi.org/10.34360/00007907
https://doi.org/10.34360/000079076dd5bc74-0607-43e1-b6b2-40ff7f7e5761
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
no31_07 (9.9 MB)
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| Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||||
|---|---|---|---|---|---|---|---|---|
| 公開日 | 2012-01-20 | |||||||
| タイトル | ||||||||
| タイトル | 補遺 : 株式売買における統計的裁定のパフォーマンス | |||||||
| 言語 | ||||||||
| 言語 | jpn | |||||||
| キーワード | ||||||||
| 主題 | パフォーマンス指標, ポートフォリオ成長 Hideya, Ishizuchi, Performance Index, Portfolio Growth |
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| 資源タイプ | ||||||||
| 資源タイプ | departmental bulletin paper | |||||||
| ID登録 | ||||||||
| ID登録 | 10.34360/00007907 | |||||||
| ID登録タイプ | JaLC | |||||||
| 別言語のタイトル(英) | ||||||||
| タイトル | Supplement : How Pairs Trading Works in the Japanese Stock Market | |||||||
| 作成者 |
石鎚, 英也
× 石鎚, 英也
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| 内容記述 | ||||||||
| 内容記述 | 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. | |||||||
| 公開者 | ||||||||
| 出版者 | 専修大学情報科学研究所 | |||||||
| ISSN | ||||||||
| 収録物識別子 | 0286-6048 | |||||||
| 書誌レコードID | ||||||||
| 収録物識別子 | AN00231758 | |||||||
| 書誌情報 |
情報科学研究 巻 31, p. 59-68, 発行日 2011-03-01 |
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| 出版タイプ | ||||||||
| 出版タイプ | NA | |||||||
