Stop-outs under serial correlation and the triple penance rule
David H. Bailey and Marcos López de Prado
| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011438983