Doyen Sahoo

Problem Setting

A price relative vector is a vector of size m which represents the price relatives of m assets that are under consideration for the problem. A price relative is the ratios of the price of an asset at that time period and the previous time period. This means that at every time period t the price relative vector becomes available to us - which essentially indicates the factor by which the price of all assets has changed. The objective OLPS is to re-balance the portfolio vector b at the end of every time period. This scenario is more concretely shown in Protocol 1 below. 
Picture

Links

Main Project Page
Project on GitHub

About OLPS
  • Introduction
  • Problem Setting
  • Types of Strategies
  • Useful References 
  • Project members
OLPS Toolbox
  • Purpose 
  • Download
  • Installation
  • Tutorial on Usage
  • Adding your own Strategies
Powered by Create your own unique website with customizable templates.