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Essays on Trading Strategy

Author

Listed:
  • Graham L Giller

    (Giller Investments, USA)

Abstract

This book directly focuses on finding optimal trading strategies in the real world and supports that with a well-defined theoretical foundation that allows trading strategy problems to be solved. Critically, it also delivers a menu of actual solutions that can be applied by traders with various risk profiles and objectives in markets that exhibit substantial tail risk. It shows how the Markowitz approach leads to excessive risk taking, and trader underperformance, in the real world. It summarizes the key features of Utility Theory, the deficiencies of the Sharpe Ratio as a statistic, and develops an optimal decision theory with fully developed examples for both "Normal" and leptokurtotic distributions.

Individual chapters are listed in the "Chapters" tab

Suggested Citation

  • Graham L Giller, 2023. "Essays on Trading Strategy," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 13413, August.
    • Handle: RePEc:wsi:wsbook:13413
    as

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    File URL: https://www.worldscientific.com/worldscibooks/10.1142/13413
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    Book Chapters

    The following chapters of this book are listed in IDEAS

    More about this item

    Keywords

    Stock Market; Stock Trading; Decision Theory; Optimal Trading; Trading Strategy; Finance; Optimization; Portfolio Strategy; Modern Portfolio Theory; Kelly Criterion; Betting Strategy; Risk Management; Tail Risk; Investment Management; Performance Measurement; Sharpe Ratio; Trading Theory; Investment Theory;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G1 - Financial Economics - - General Financial Markets

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