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Investment horizons : A time-dependent measure of asset performance

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  • Ingve Simonsen
  • Anders Johansen
  • Mogens H. Jensen

Abstract

We review a resent {\em time-dependent} performance measure for economical time series -- the (optimal) investment horizon approach. For stock indices, the approach shows a pronounced gain-loss asymmetry that is {\em not} observed for the individual stocks that comprise the index. This difference may hint towards an synchronize of the draw downs of the stocks.

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  • Ingve Simonsen & Anders Johansen & Mogens H. Jensen, 2005. "Investment horizons : A time-dependent measure of asset performance," Papers physics/0504150, arXiv.org.
    • Handle: RePEc:arx:papers:physics/0504150
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    1. Ingve Simonsen & Mogens H. Jensen & Anders Johansen, 2002. "Optimal Investment Horizons," Papers cond-mat/0202352, arXiv.org.
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