Mathematical Appendices to: 'Stop-Outs Under Serial Correlation'

Journal of Risk, 2014, Forthcoming

13 Pages Posted: 20 Oct 2014

See all articles by David H. Bailey

David H. Bailey

Lawrence Berkeley National Laboratory; University of California, Davis

Marcos Lopez de Prado

Cornell University - Operations Research & Industrial Engineering; Abu Dhabi Investment Authority; True Positive Technologies

Date Written: October 18, 2014

Abstract

Proofs to the propositions in "Stop-Outs Under Serial Correlation".

The paper "Stop-Outs Under Serial Correlation and 'The Triple Penance Rule" to which these Appendices apply is available at the following URL: http://ssrn.com/abstract=2201302

Keywords: Downside, time under water, stop-out, triple penance, serial correlation, Sharpe ratio

JEL Classification: G0, G1, G2, G15, G24, E44

Suggested Citation

Bailey, David H. and López de Prado, Marcos and López de Prado, Marcos, Mathematical Appendices to: 'Stop-Outs Under Serial Correlation' (October 18, 2014). Journal of Risk, 2014, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2511599

David H. Bailey

Lawrence Berkeley National Laboratory ( email )

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HOME PAGE: http://www.davidhbailey.com

University of California, Davis ( email )

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Davis, CA 95616
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HOME PAGE: http://www.davidhbailey.com

Marcos López de Prado (Contact Author)

Cornell University - Operations Research & Industrial Engineering ( email )

237 Rhodes Hall
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United States

HOME PAGE: http://www.orie.cornell.edu

Abu Dhabi Investment Authority ( email )

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United Arab Emirates

HOME PAGE: http://www.adia.ae

True Positive Technologies ( email )

NY
United States

HOME PAGE: http://www.truepositive.com

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