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Risk averse fractional trading using the current drawdown

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  • Stanislaus Maier-Paape

Abstract

In this paper the fractional trading ansatz of money management is reconsidered with special attention to chance and risk parts in the goal function of the related optimization problem. By changing the goal function with due regards to other risk measures like current drawdowns, the optimal fraction solutions reflect 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, risk aversion

Suggested Citation

  • Stanislaus Maier-Paape, 2016. "Risk averse fractional trading using the current drawdown," Papers 1612.02985, arXiv.org.
    • Handle: RePEc:arx:papers:1612.02985
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    File URL: http://arxiv.org/pdf/1612.02985
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    Cited by:

    1. Stanislaus Maier-Paape & Qiji Jim Zhu, 2018. "A General Framework for Portfolio Theory—Part I: Theory and Various Models," Risks, MDPI, vol. 6(2), pages 1-35, May.
    2. Andreas Hermes & Stanislaus Maier-Paape, 2017. "Existence and Uniqueness for the Multivariate Discrete Terminal Wealth Relative," Risks, MDPI, vol. 5(3), pages 1-19, August.
    3. Stanislaus Maier-Paape & Qiji Jim Zhu, 2017. "A General Framework for Portfolio Theory. Part I: theory and various models," Papers 1710.04579, arXiv.org.

    More about this item

    Keywords

    fractional trading; optimal f; current drawdown; terminal wealth relative; risk aversion;
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