2026-06-29T09:30:16Zhttps://docta.ucm.es/rest/oai/request

oai:docta.ucm.es:20.500.14352/1292832025-12-19T01:03:34Zcom_20.500.14352_14col_20.500.14352_15

Buy and hold golden strategies in financial markets with frictions and depth constraints Balbás De La Corte, Alejandro Balbás Aparicio, Beatriz Balbás Aparicio, Raquel G11 C02 C61 C63 Coherent Risk Market Depth and Frictions Golden Strategy Computational Tractability Ciencias Sociales Ciencias 53 Ciencias Económicas 12 Matemáticas 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. Depto. de Economía Financiera y Actuarial y Estadística Fac. de Ciencias Económicas y Empresariales TRUE pub 2025-12-18T08:53:59Z 2025-12-18T08:53:59Z 2024-02-25 journal article AM https://hdl.handle.net/20.500.14352/129283 1350-486X 10.1080/1350486X.2024.2320339 1466-4313 eng info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2021-2023/PID2021-125133NB-I00/ES/NUEVOS RETOS ACTUARIALES/ 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. Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/ embargoed access application/pdf Taylor & Francis