A trading strategy with variable investment from minimizing risk to profit ratio
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DOI: 10.1016/S0378-4371(00)00390-3
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Cited by:
- Hui, Eddie C.M. & Chan, Ka Kwan Kevin, 2019. "Alternative trading strategies to beat “buy-and-hold”," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
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Keywords
Non-stationary random walk; Optimal trading strategy; Variable investment; Sharpe ratio; Prediction; Neural networks;All these keywords.
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