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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 |
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no31_07 (9.9 MB)
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Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
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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 |