When do stop-loss rules stop losses?
We propose a simple analytical framework to measure the value added or subtracted by stop-loss rules-predetermined policies that reduce a portfolio's exposure after reaching a certain threshold of cumulative losses-on the expected return and volatility of an arbitrary portfolio strategy. Using...
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| Format: | Article |
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Elsevier
2018
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| Online Access: | http://hdl.handle.net/1721.1/114876 https://orcid.org/0000-0003-2944-7773 |