{"title":"投资组合算法交易的备忘单","authors":"P. Beaudan","doi":"10.2139/ssrn.2314590","DOIUrl":null,"url":null,"abstract":"These working notes on algorithmic trading are designed as an introduction to the basic equations that govern the day-to-day trading of an investment portfolio to meet a predefined strategic asset allocation. The algebraic framework applies generally to long only and long/short strategies. It incorporates the use of leverage as well as the impact of trading costs on a portfolio. The presentation of the material is based on first principles. As such it assumes an elementary knowledge of linear algebra, but no particular expertise in finance or securities trading.","PeriodicalId":363330,"journal":{"name":"Computation Theory eJournal","volume":"88 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2013-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"A Cheat Sheet for Algorithmic Trading of Investment Portfolios\",\"authors\":\"P. Beaudan\",\"doi\":\"10.2139/ssrn.2314590\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"These working notes on algorithmic trading are designed as an introduction to the basic equations that govern the day-to-day trading of an investment portfolio to meet a predefined strategic asset allocation. The algebraic framework applies generally to long only and long/short strategies. It incorporates the use of leverage as well as the impact of trading costs on a portfolio. The presentation of the material is based on first principles. As such it assumes an elementary knowledge of linear algebra, but no particular expertise in finance or securities trading.\",\"PeriodicalId\":363330,\"journal\":{\"name\":\"Computation Theory eJournal\",\"volume\":\"88 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2013-08-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Computation Theory eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2314590\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Computation Theory eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2314590","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
A Cheat Sheet for Algorithmic Trading of Investment Portfolios
These working notes on algorithmic trading are designed as an introduction to the basic equations that govern the day-to-day trading of an investment portfolio to meet a predefined strategic asset allocation. The algebraic framework applies generally to long only and long/short strategies. It incorporates the use of leverage as well as the impact of trading costs on a portfolio. The presentation of the material is based on first principles. As such it assumes an elementary knowledge of linear algebra, but no particular expertise in finance or securities trading.
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