Essays on Trading Strategy

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.

Author: Graham L. Giller
Publisher: World Scientific Publishing Company
Published: 09/04/2023
Pages: 216
Binding Type: Hardcover
Weight: 1.02lbs
Size: 9.00h x 6.00w x 0.56d
ISBN13: 9789811273810
ISBN10: 9811273812
BISAC Categories:
- Business & Economics | Investments & Securities | Portfolio Management
- Business & Economics | Investments & Securities | Stocks