Add to ORKGAbstract A simple stop loss procedure to measure expected return of the portfolio with and without the stop-loss rule is proposed. A strategy for setting stop loss levels based on historical data and using moving average and average true range methods is given. Obtained results were compared by running back test for different values of stop-loss
Abstract: One of the approaches to determining and quantifying the credit risk of a loan portfolio i...
VaR gives a prediction of potential portfolio losses, with a certain level of confidence, that may b...
Measuring the risk of a financial portfolio involves two steps: estimating the loss distribution of ...
We propose a simple analytical framework to measure the value added or subtracted by stop-loss rules...
Abstract: We carry out a Monte-Carlo simulation of the long-term behaviour of a standard derivatives...
Stop-loss rules-predetermined policies that reduce a portfolio's exposure after reaching a certain t...
This thesis is concerned with the modelling and algorithmic development of a Stopping Rule Problem (...
A stop-loss rule is a risk management tool whereby the investor predefines some condition that, upon...
This paper presents and compares five analytical formulas for the approximation of stop-loss premium...
Aquest treball, que te per titol definitiu "Do Stop-Loss rules stop losses? An analytical framework ...
Abstract.In forex trading, price movement can not be predicted and can be against what traders think...
Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, Operations Resea...
By using money management, an investor may determine the optimal leverage factor to apply on each tr...
We examine a simple measure of portfolio performance based on prospect theory, which captures not on...
We examine a simple measure of portfolio performance based on prospect theory, which captures not on...
Abstract: One of the approaches to determining and quantifying the credit risk of a loan portfolio i...
VaR gives a prediction of potential portfolio losses, with a certain level of confidence, that may b...
Measuring the risk of a financial portfolio involves two steps: estimating the loss distribution of ...
We propose a simple analytical framework to measure the value added or subtracted by stop-loss rules...
Abstract: We carry out a Monte-Carlo simulation of the long-term behaviour of a standard derivatives...
Stop-loss rules-predetermined policies that reduce a portfolio's exposure after reaching a certain t...
This thesis is concerned with the modelling and algorithmic development of a Stopping Rule Problem (...
A stop-loss rule is a risk management tool whereby the investor predefines some condition that, upon...
This paper presents and compares five analytical formulas for the approximation of stop-loss premium...
Aquest treball, que te per titol definitiu "Do Stop-Loss rules stop losses? An analytical framework ...
Abstract.In forex trading, price movement can not be predicted and can be against what traders think...
Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, Operations Resea...
By using money management, an investor may determine the optimal leverage factor to apply on each tr...
We examine a simple measure of portfolio performance based on prospect theory, which captures not on...
We examine a simple measure of portfolio performance based on prospect theory, which captures not on...
Abstract: One of the approaches to determining and quantifying the credit risk of a loan portfolio i...
VaR gives a prediction of potential portfolio losses, with a certain level of confidence, that may b...
Measuring the risk of a financial portfolio involves two steps: estimating the loss distribution of ...