In the paper the exponential risk measure of Damant and Satchell is used to formulate an investor's utility function and the properties of this function are investigated. The utility function is calibrated for a typical UK investor who would hold different proportions of equity. It is found...

The purpose of this paper is to examine the exact properties of Sharpe's ratio when prices are log-normal. Depending on the definition of returns, different expressions are formed for unbiased estimators of Sharpe's ratio.

A general framework for analysing trading rules is presented. We discuss different return concepts and different statistical processes for returns. We then concentrate on moving average trading rules and show, in the case of moving average models of length two, closed form expressions for the...

In finance theory the standard deviation of asset returns is almost universally recognized as a measure of risk. This universality continues to exist even in the presence of known limitations of using the standard deviation and also an extensive and growing literature on alternative risk...