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On the inefficiency of bang-bang and stop-loss portfolio strategies - MaRDI portal

On the inefficiency of bang-bang and stop-loss portfolio strategies

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Publication:1367845

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DOI10.1023/A:1007725428360zbMath0886.90028MaRDI QIDQ1367845

Christian Gollier

Publication date: 4 December 1997

Published in: Journal of Risk and Uncertainty (Search for Journal in Brave)

zbMATH Keywords

martingale portfolio management stop-loss order of risk aversion

Mathematics Subject Classification ID

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Related Items (2)

A theoretical investigation of randomized asset allocation strategies ⋮ A simple computational model for analyzing the properties of stop-loss, take-profit, and price breakout trading strategies

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