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In the paper the exponential risk measure of Damant and Satchell is used to formulate an investor's utility function and the properties of this function are investigated. The utility function is calibrated for a typical UK investor who would hold different proportions of equity. It is found...
Persistent link: https://www.econbiz.de/10005495399
Hedge funds, defined in this context as geared financial entities, frequently use some measure of point loss as a risk measure. This paper considers the statistical properties of an uninterrupted fall in a security price; called a draw down. The distribution of the draw downs in an N-trading...
Persistent link: https://www.econbiz.de/10005639883