Effective return, risk aversion and drawdowns
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DOI: 10.1016/S0378-4371(00)00462-3
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- Tavakoli Baghdadabad, Mohammad Reza, 2014. "Average drawdown risk reduction and risk tolerances," Research in Economics, Elsevier, vol. 68(3), pages 264-276.
- Neely, Christopher J., 2003.
"Risk-adjusted, ex ante, optimal technical trading rules in equity markets,"
International Review of Economics & Finance, Elsevier, vol. 12(1), pages 69-87.
- Christopher J. Neely, 2001. "Risk-adjusted, ex ante, optimal technical trading rules in equity markets," Working Papers 1999-015, Federal Reserve Bank of St. Louis.
- Christopher J. Neely & Paul A. Weller, 2011. "Technical analysis in the foreign exchange market," Working Papers 2011-001, Federal Reserve Bank of St. Louis.
- Heidorn, Thomas & Siragusano, Tindaro, 2004. "Die Anwendbarkeit der Behavioral Finance im Devisenmarkt," Frankfurt School - Working Paper Series 52, Frankfurt School of Finance and Management.
- Schuhmacher, Frank & Eling, Martin, 2011. "Sufficient conditions for expected utility to imply drawdown-based performance rankings," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2311-2318, September.
- Ni, Yensen & Liao, Yi-Ching & Huang, Paoyu, 2015. "MA trading rules, herding behaviors, and stock market overreaction," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 253-265.
- Dong, Yang & Wen, Shu-hui & Hu, Xiao-bing & Li, Jiang-Cheng, 2020. "Stochastic resonance of drawdown risk in energy market prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
- Andrew Clark, 2005. "The use of Hurst and effective return in investing," Quantitative Finance, Taylor & Francis Journals, vol. 5(1), pages 1-8.
- Pierre Giot & Mikael Petitjean, 2011.
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Quantitative Finance, Taylor & Francis Journals, vol. 11(2), pages 175-193.
- GIOT, Pierre & PETITJEAN, Mikael, 2011. "On the statistical and economic performance of stock return predictive regression models: an international perspective," LIDAM Reprints CORE 2432, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- GIOT, Pierre & PETITJEAN, Mikael, 2011. "On the statistical and economic performance of stock return predictive regression models: an international perspective," LIDAM Reprints CORE 2327, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Xufre Casqueiro, Patricia & Rodrigues, Antonio J.L., 2006. "Neuro-dynamic trading methods," European Journal of Operational Research, Elsevier, vol. 175(3), pages 1400-1412, December.
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Keywords
Performance measures; Sharpe ratio; Effective return; Drawdown;All these keywords.
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