Effective return, risk aversion and drawdowns

DOI10.1016/S0378-4371(00)00462-3zbMath0971.91510OpenAlexW3122438502WikidataQ105592797 ScholiaQ105592797MaRDI QIDQ1588869

Ramazan Gençay, Ulrich A. Müller, Michel M. Dacorogna, Olivier V. Pictet

Publication date: 5 December 2000

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4371(00)00462-3

zbMATH Keywords

real-time trading modelsinvestment strategiesrisk-dajusted performance measures

Mathematics Subject Classification ID

Related Items (5)

On overload in a storage model, with a self-similar and infinitely divisible input. ⋮ Dynamic behaviors and measurements of financial market crash rate ⋮ Neuro-dynamic trading methods ⋮ The use of Hurst and effective return in investing ⋮ Foreign exchange trading models and market behavior

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Prospect Theory and Asset Prices
• Myopic Loss Aversion and the Equity Premium Puzzle
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