18 Pages Posted: 11 Mar 2013
Date Written: July 23, 2012
We discuss here a dynamic implementation of the leverage space portfolio theory in the form of DJ-LSP position sizing index implemented the Dow Jones indexes. Our emphasis in this case study is on the practical issues related to the implementation.
Keywords: Dynamic portfolio, money management, risk control
JEL Classification: C52, G11
Suggested Citation: Suggested Citation
Zhu, Qiji Jim and Vince, Ralph and Malinsky, Steven, A Dynamic Implementations of the Leverage Space Portfolio (July 23, 2012). Available at SSRN: https://ssrn.com/abstract=2230866 or http://dx.doi.org/10.2139/ssrn.2230866
By Andrew Ang