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Risk averse fractional trading using the current drawdown
Journal of Risk ( IF 0.915 ) Pub Date : 2018-01-01 , DOI: 10.21314/jor.2018.388
Stanislaus Maier-Paape

In this paper the fractional trading ansatz of money management is reconsidered with special attention to chance and risk parts in the goal function of the related optimization problem. By changing the goal function with due regards to other risk measures like current drawdowns, the optimal fraction solutions reflect the needs of risk averse investors better than the original optimal f solution of Ralph Vince. Keywords: fractional trading, optimal f, current drawdown, terminal wealth relative, risk aversion

中文翻译:

使用当前回撤的风险规避分数交易

在本文中,重新考虑了资金管理的分数交易 ansatz,特别关注相关优化问题的目标函数中的机会和风险部分。通过在适当考虑当前回撤等其他风险度量的情况下更改目标函数,最优分数解决方案比 Ralph Vince 的原始最优 f 解决方案更好地反映了风险厌恶投资者的需求。关键词:分数交易,最优 f,当前回撤,终端财富相对,风险规避
更新日期:2018-01-01
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