A simple computational model for analyzing the properties of stop-loss, take-profit, and price breakout trading strategies

DOI10.1016/j.cor.2004.06.001zbMath1115.91315OpenAlexW2084449473MaRDI QIDQ2565768

Zhe George Zhang, Art Warburton

Publication date: 28 September 2005

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cor.2004.06.001

zbMATH Keywords

Planning horizonsProfit targetsStop-loss ordersTrailing stop strategies

Mathematics Subject Classification ID

Decision theory (91B06)

Related Items (1)

Optimal trading with a trailing stop

Cites Work

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• On the inefficiency of bang-bang and stop-loss portfolio strategies
• On stop-loss strategies for stock investments.
• Stock Trading: An Optimal Selling Rule
• Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
• Trading Securities Using Trailing Stops
• Option pricing: A simplified approach

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