The Algebra of Portfolio Dynamics

Cesari, Riccardo

doi:10.2139/ssrn.1931750

Abstract

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The Algebra of Portfolio Dynamics

Riccardo Cesari

University of Bologna - Department of Mathematics for Economic and Social Sciences

September 21, 2011

Abstract:
Using simple definitions and relations, portfolio returns are related to price and quantity movements. The case of self-financing portfolios is considered and the two special cases of "buy and hold" and "constant mix" strategies are analyzed.

Number of Pages in PDF File: 5

Keywords: trading strategies, self-financing portfolios, buy and hold, constant mix

JEL Classification: G11, G23

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Date posted: September 25, 2011

Suggested Citation

Cesari, Riccardo, The Algebra of Portfolio Dynamics (September 21, 2011). Available at SSRN: http://ssrn.com/abstract=1931750 or http://dx.doi.org/10.2139/ssrn.1931750

Contact Information

Riccardo Cesari (Contact Author)

University of Bologna - Department of Mathematics for Economic and Social Sciences ( email )

viale Filopanti,5
Bologna, Bologna 40126
Italy
0039512094358 (Phone)
0039512094367 (Fax)