Title:

Probability Distributions and Leveraged Trading Strategies: An Application of Gaussian Mixture Models to the Morgan Stanley Technology Index Tracking Fund

Authors:

Andreas Lindemann (Liverpool John Moores U)
Christian L. Dunis (Liverpool John Moores U)
Paulo Lisboa (Liverpool John Moores U)

Journal:

Quantitative Finance

Year:

2005

Volume:

5

Pages:

459-474

JEL codes:

G12 - Asset Pricing; Trading volume; Bond Interest Rates
G23 - Pension Funds; Other Private Financial Institutions