Risk averse fractional trading using the current drawdown
Year of publication: |
June 2018
|
---|---|
Authors: | Maier-Paape, Stanislaus |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 20.2017/2018, 5, p. 117-141
|
Subject: | fractional trading | optimal f | current drawdown | terminal wealth relative (TWR) | risk aversion |
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