Abstract
These working notes on algorithmic trading are designed as an introduction to the basic equations that govern the day-to-day trading of an investment portfolio to meet a predefined strategic asset allocation. The algebraic framework applies generally to long only and long/short strategies. It incorporates the use of leverage as well as the impact of trading costs on a portfolio. The presentation of the material is based on first principles. As such it assumes an elementary knowledge of linear algebra, but no particular expertise in finance or securities trading.
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