Effective return, risk aversion and drawdowns

DOI10.1016/S0378-4371(00)00462-3MaRDI QIDQ1588869zbMATH OpenOpenAlexWikidataFDO

Authors Michel M. Dacorogna, Ramazan Gençay, Ulrich A. Müller, 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, http://hdl.handle.net/11693/24907

zbMATH Keywords

investment strategiesreal-time trading modelsrisk-dajusted performance measures

Mathematics Subject Classification ID

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Cites work

• Generalized autoregressive conditional heteroscedasticity
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• Myopic Loss Aversion and the Equity Premium Puzzle
• Prospect theory and asset prices

Cited in

(8)

• 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
• Risk-return analysis. Vol. I. The theory and practice of rational investing. With contributions by Kenneth A. Blay, Anthony Tessitore, Ansel Tessitore and Nilfur Usmen. With a foreword by Stephen A. Batman
• Defining Bad News: Changes in Return Distributions That Decrease Risky Asset Demand
• A portfolio return definition coherent with the investors' preferences
• The use of Hurst and effective return in investing
• Foreign exchange trading models and market behavior

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