Mathematical Analysis of Marginal Investment Systems

Abstract

Investment systems are the set of historical trades and can be studied as the cumulative probability distributions on all possible gains and losses of the trades. Marginal investment systems are investment systems that allow one to invest more than the capital he has. But the margin costs also play an important role in encouraging or deterring the investor if he should trade on margin. In this thesis, the efficiency index for investment system with margin will be discussed together with the method of how to simulate the trade from the real world data. Furthermore, the interest rate has been taken into account too.