Stop-outs under serial correlation and the triple penance rule
Year of publication: |
December 2015
|
---|---|
Authors: | Bailey, David H. ; López de Prado, Marcos M. |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 18.2015/2016, 2, p. 61-93
|
Subject: | downside | time under water | stop-out | triple penance | serial correlation | Sharpe ratio |
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