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Conference Paper: A mixed Sharpe ratio

TitleA mixed Sharpe ratio
Authors
KeywordsLévy Processes
Mutual Funds
Optimal Stopping Theory
Optimal Trading Strategy
Sharpe Ratio
Issue Date2012
Citation
Risk And Decision Analysis, 2012, v. 3 n. 1-2, p. 37-65 How to Cite?
AbstractRecent results in optimal stopping theory have shown that a 'bang-bang' (buy or sell immediately) style of trading strategy is in some sense optimal provided the asset's price dynamics follow certain familiar stochastic processes. This paper constructs a reward-to-variability ratio (the mixed Sharpe ratio) that is sufficient for this strategy's implementation. The use of this ratio for optimal portfolio selection is discussed and evidence for it varying over time is found. The performances of the 'bang-bang' and 'buy-and-hold' trading strategies are compared and the former is found to be significantly more profitable. © 2012 - IOS Press and the authors. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/158881
ISSN
2015 SCImago Journal Rankings: 0.112
References

 

DC FieldValueLanguage
dc.contributor.authorWong, WKen_US
dc.contributor.authorWright, JAen_US
dc.contributor.authorYam, SCPen_US
dc.contributor.authorYung, SPen_US
dc.date.accessioned2012-08-08T09:04:04Z-
dc.date.available2012-08-08T09:04:04Z-
dc.date.issued2012en_US
dc.identifier.citationRisk And Decision Analysis, 2012, v. 3 n. 1-2, p. 37-65en_US
dc.identifier.issn1569-7371en_US
dc.identifier.urihttp://hdl.handle.net/10722/158881-
dc.description.abstractRecent results in optimal stopping theory have shown that a 'bang-bang' (buy or sell immediately) style of trading strategy is in some sense optimal provided the asset's price dynamics follow certain familiar stochastic processes. This paper constructs a reward-to-variability ratio (the mixed Sharpe ratio) that is sufficient for this strategy's implementation. The use of this ratio for optimal portfolio selection is discussed and evidence for it varying over time is found. The performances of the 'bang-bang' and 'buy-and-hold' trading strategies are compared and the former is found to be significantly more profitable. © 2012 - IOS Press and the authors. All rights reserved.en_US
dc.languageengen_US
dc.relation.ispartofRisk and Decision Analysisen_US
dc.subjectLévy Processesen_US
dc.subjectMutual Fundsen_US
dc.subjectOptimal Stopping Theoryen_US
dc.subjectOptimal Trading Strategyen_US
dc.subjectSharpe Ratioen_US
dc.titleA mixed Sharpe ratioen_US
dc.typeConference_Paperen_US
dc.identifier.emailYung, SP:spyung@hkucc.hku.hken_US
dc.identifier.authorityYung, SP=rp00838en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.3233/RDA-2012-0051en_US
dc.identifier.scopuseid_2-s2.0-84855774710en_US
dc.identifier.hkuros209524-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-84855774710&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume3en_US
dc.identifier.issue1-2en_US
dc.identifier.spage37en_US
dc.identifier.epage65en_US
dc.identifier.scopusauthoridWong, WK=7403972051en_US
dc.identifier.scopusauthoridWright, JA=7601527494en_US
dc.identifier.scopusauthoridYam, SCP=35112610600en_US
dc.identifier.scopusauthoridYung, SP=7006540951en_US

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