Leakage of rank-dependent functionally generated trading strategies

This paper investigates the so-called leakage effect of trading strategies generated functionally from rank-dependent portfolio generating functions. This effect measures the loss in wealth of trading strategies due to renewing the portfolio constituent stocks. Theoretically, the leakage effect of a trading strategy is expressed explicitly by a finite-variation term. The computation of the leakage is different from what previous research has suggested. The method to estimate leakage in discrete time is then introduced with some practical considerations. An empirical example illustrates the leakage of the corresponding trading strategies under different constituent list sizes.

On Sums of Strictly Narrow Operators Acting from a Riesz Space to a Banach Space

We prove that ifEis a Dedekind complete atomless Riesz space andXis a Banach space, then the sum of two laterally continuous orthogonally additive operators fromEtoX, one of which is strictly narrow and the other one is hereditarily strictly narrow with finite variation (in particular, has finite rank), is strictly narrow. Similar results were previously obtained for narrow operators by different authors; however, no theorem of the kind was known for strictly narrow operators.