Investment horizons : A time-dependent measure of asset performance
We review a resent {\em time-dependent} performance measure for economical time series -- the (optimal) investment horizon approach. For stock indices, the approach shows a pronounced gain-loss asymmetry that is {\em not} observed for the individual stocks that comprise the index. This difference may hint towards an synchronize of the draw downs of the stocks.
Year of publication: |
2005-04
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Authors: | Simonsen, Ingve ; Johansen, Anders ; Jensen, Mogens H. |
Institutions: | arXiv.org |
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