Risk Averse Fractional Trading Using the Current Drawdown
26 Pages Posted: 28 Jun 2018
Date Written: June 14, 2018
In this paper, the fractional trading ansatz of money management, also called growth optimal trading, is reconsidered. Special attention is paid to the chance and risk parts of the goal function for the related optimization problem. By changing the goal function with respect to other risk measures such as current drawdowns, the optimal fraction solutions meet the needs of risk averse investors better than the original optimal f solution of Ralph Vince.
Keywords: Fractional Trading, Optimal F, Current Drawdown, Terminal Wealth Relative (TWR), Risk Aversion.
Suggested Citation: Suggested Citation
Maier-Paape, Stanislaus, Risk Averse Fractional Trading Using the Current Drawdown (June 14, 2018). Journal of Risk, Vol. 20, No. 5, 2018, Available at SSRN: https://ssrn.com/abstract=3202804
Do you have a job opening that you would like to promote on SSRN?
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.