Mathematical Appendices to: 'Stop-Outs Under Serial Correlation'
Journal of Risk, 2014, Forthcoming
13 Pages Posted: 20 Oct 2014
Date Written: October 18, 2014
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: Suggested Citation