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; AQR Capital Management, LLC

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, 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 )

1 Cyclotron Road
Berkeley, CA 94720
United States

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

University of California, Davis ( email )

One Shields Avenue
Davis, CA 95616
United States

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

Marcos López de Prado (Contact Author)

Cornell University - Operations Research & Industrial Engineering ( email )

237 Rhodes Hall
Ithaca, NY 14853
United States

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

AQR Capital Management, LLC

One Greenwich Plaza
Greenwich, CT 06830
United States

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

Register to save articles to
your library

Register

Paper statistics

Downloads
383
Abstract Views
1,294
rank
75,514
PlumX Metrics