A mixed Sharpe ratio
Refereed conference paper presented and published in conference proceedings


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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.
All Author(s) ListWong W.K., Wright J.A., Yam S.C.P., Yung S.P.
Detailed descriptionAppear online\n\nTo ORKTS: The paper has been appeared online since Jan 2012. It will be in press later this year or the next.
Year2012
Month1
Day18
Volume Number3
Issue Number1-2
PublisherIOS Press
Place of PublicationNetherlands
Pages37 - 65
ISSN1569-7371
LanguagesEnglish-United Kingdom
KeywordsLévy processes, mutual funds, optimal stopping theory, optimal trading strategy, Sharpe ratio

Last updated on 2021-20-09 at 23:22