RT Journal Article
T1 Buy and hold golden strategies in financial markets with frictions and depth constraints
A1 Balbás De La Corte, Alejandro
A1 Balbás Aparicio, Beatriz
A1 Balbás Aparicio, Raquel
AB This paper deals with coherent risk measures and golden strategies, that is, financial portfolios (or financial strategies) with a negative risk and a non positive price. Golden strategies are important because they enable us to outperform every portfolio in a return/risk approach. In fact, every portfolio of securities is beaten by adding the golden strategy, i.e. the portfolio plus the golden strategy is better than the portfolio alone. Computationally tractable algorithms will be presented, and the general framework will be very realistic. Indeed, the study will incorporate all the classical frictions provoked by the order book of a financial market, and it will be both buy-and-hold and model-free. Numerical experiments involving derivative markets will be analyzed.
PB Taylor & Francis
SN 1350-486X
YR 2024
FD 2024-02-25
LK https://hdl.handle.net/20.500.14352/129283
UL https://hdl.handle.net/20.500.14352/129283
LA eng
NO Balbás, A., Balbás, B., & Balbás, R. (2023). Buy and Hold Golden Strategies in Financial Markets with Frictions and Depth Constraints. Mathematical Finance, 30(5), 231–248.
DS Docta Complutense
RD 30 dic 2025