Year: 2016
Type: preprint
Abstract: In this paper the fractional trading ansatz of money management is reconsidered with special attention to chance and risk parts in the goal function of the related optimization problem. By changing the goal function with due regards to other risk measures like current drawdowns, the optimal fraction solutions reflect the needs of risk averse investors better than the original optimal f solution of Ralph Vince. Keywords: fractional trading, optimal f, current drawdown, terminal wealth relative, risk aversion
Author: Maier-Paape, Stanislaus
Institution: RWTH Aachen University
Language: English
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2951005696