Quantitative Properties of Financial Strategies
A special issue of Journal of Risk and Financial Management (ISSN 1911-8074).
Deadline for manuscript submissions: closed (30 June 2018)
Special Issue Editor
Interests: econometrics; finance; risk measurement; utility theory
Special Issues, Collections and Topics in MDPI journals
Special Issue Information
Dear Colleagues,
Although trading rules are widely used by practitioners, and financial factors/strategies are widely used by everyone, remarkably little is known about their stochastic, dynamic, and distributional properties.
We define a trading rule as a procedure/formula based on current information, which creates the weights in our portfolio, such a rule may be long-only or long-short. We shall call all such approaches financial strategies in this Special Issue, we are open to research that takes an economic approach, but also happy to consider the problem from a computer-science approach as well:
- theoretical papers that derive the properties of financial strategy returns in discrete or continuous time are welcome.
- empirical papers either within a single market or across markets are also welcome.
We would consider survey papers of the above literature as well, especially those that set out a research agenda.
Prof. Stephen SatchellGuest Editor
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Keywords
- strategy returns
- trading rules
- factor returns
- strategy dynamics
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